Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence
重新评估欧盟经济预测的审慎性:工具变量持久性的作用
Summary Christodoulakis and Mamatzakis (2009, Journal of Applied Econometrics 24, pp. 583–606) estimate the EU Commission loss preferences for selected economic forecasts of 12 EU Member States. They employ the generalized method of moments (GMM) estimation procedure proposed by Elliott et al. (2005, Review of Economic Studies 72, pp. 1107–1125) and find the forecasts to be somewhat optimistic on average. However, this note shows the GMM estimator to possess nonstandard…