Forecast disagreement about long-run macroeconomic relationships

Kuang, Pei, Tang, Li ORCID: https://orcid.org/0000-0001-7119-3186, Zhang, Renbin and Zhang, Tongbin (2022) Forecast disagreement about long-run macroeconomic relationships. Journal of Economic Behavior and Organization, 200 . pp. 371-387. ISSN 0167-2681 [Article] (doi:10.1016/j.jebo.2022.06.002)

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Abstract

Using survey forecast data, this paper studies whether professional forecasters utilize long-run cointegration relationships among macroeconomic variables to forecast the future, as postulated in stochastic growth models. Significant heterogeneity exists among forecasters. The majority of the forecasters do not use these long-run relationships. The results are robust across different groups, to addressing the multiple testing problem and to allowing for structural break.

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