We answer positively to this question by using Maximum Lq-Likelihood (or Deformed Likelihood) estimator. This is based on a parameter which measures the aggregate quote of judgment in the forecasting (game-based) system formed by three players—Forecaster, Policy Maker and Reality. For the first time in econometric literature, we apply this estimator to a dynamic system and derive a robust version of the Kalman Filter—the Deformed Kalman Filter (DKF). The evidence from U.S. data suggests that the judgmental dynamics exists and is correlated (but not coincident) with the phases of the Business Cycle. Furthermore its knowledge improves in-sample as well as out-of-sample estimation.

Zanetti Chini, Emilio, (2023). Can we estimate macroforecasters’ mis-behavior? (WORKING PAPERS OF DEPARTMENT OF ECONOMICS 20). Bergamo: Retrieved from https://hdl.handle.net/10446/235330

Can we estimate macroforecasters’ mis-behavior?

Zanetti Chini, Emilio
2023-01-10

Abstract

We answer positively to this question by using Maximum Lq-Likelihood (or Deformed Likelihood) estimator. This is based on a parameter which measures the aggregate quote of judgment in the forecasting (game-based) system formed by three players—Forecaster, Policy Maker and Reality. For the first time in econometric literature, we apply this estimator to a dynamic system and derive a robust version of the Kalman Filter—the Deformed Kalman Filter (DKF). The evidence from U.S. data suggests that the judgmental dynamics exists and is correlated (but not coincident) with the phases of the Business Cycle. Furthermore its knowledge improves in-sample as well as out-of-sample estimation.
ZANETTI CHINI, Emilio
File allegato/i alla scheda:
File Dimensione del file Formato  
WPEconomics_20.pdf

accesso aperto

Versione: publisher's version - versione editoriale
Licenza: Creative commons
Dimensione del file 2.57 MB
Formato Adobe PDF
2.57 MB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/235330
Citazioni
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact