Autoregressive and Nonautoregressive Elements in Cross-Section Forecasts of Inflation
通胀横截面预测中的自回归与非自回归成分
Using cross-section data collected from a panel of institutional investors in 1969, 1970, 1972, this paper focuses on how knowledgeable individuals formulate forecasts of future rates of price inflation, We estimate return-to-normality and error-learning forecasting models and inquire whether such equations can be interpreted simply as reduced forms of an autoregressive forecasting structure. Assuming that respondents' expectations were formed rationally in the sense of…