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经济学家群体的智慧：预测平均与分散化收益AI 解读

We study the properties of macroeconomic survey forecast response averages as the number of survey respondents grows. Such averages are ``portfolios" of forecasts. We characterize the speed and pattern of the gains from diversification as a function of portfolio size (the number of survey respondents) in both (1) the key real-world data-based environment of the U.S. Survey of Professional Forecasters, and (2) the theoretical model-based environment of equicorrelated forecast…

时间序列回归中的稳健推断AI 解读

Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very useful in cross section environments. However, several major difficulties, which are generally overlooked, must be confronted when transferring the HC technology to time series environments via heteroskedasticity and autocorrelation consistent standard errors ("OLS-HAC regression"). First, in plausible time-series environments, OLS parameter estimates can be…