We estimate the dynamics of unobserved strategic judgment in macroeconomic forecasts via state-space methods. This is possible by using a new, micro-founded framework named Dynamic Scoring Structure (DSS), in which judgment arises as a deformation of the Log-Likelihood function of the estimated forecasting model and extrapolated via robust signal extraction. The properties of the new methodology are investigated via MonteCarlo simulation. An application to the survey forecasts of Real GDP of U.S. economy suggests that judgment has a dynamics related but not coincident with Business Cycle phases. The impact of this finding is also discussed.

(2021). Measuring Unobserved Strategic Judgment [working paper]. Retrieved from http://hdl.handle.net/10446/196555

Measuring Unobserved Strategic Judgment

Zanetti Chini, Emilio
2021

Abstract

We estimate the dynamics of unobserved strategic judgment in macroeconomic forecasts via state-space methods. This is possible by using a new, micro-founded framework named Dynamic Scoring Structure (DSS), in which judgment arises as a deformation of the Log-Likelihood function of the estimated forecasting model and extrapolated via robust signal extraction. The properties of the new methodology are investigated via MonteCarlo simulation. An application to the survey forecasts of Real GDP of U.S. economy suggests that judgment has a dynamics related but not coincident with Business Cycle phases. The impact of this finding is also discussed.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10446/196555
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