A robust Hansen-Sargent prediction formula

This paper derives a formula for the optimal forecast of a discounted sum of future values of a random variable. This problem reflects a preference for robustness in the presence of (unstructured) model uncertainty. The paper shows that revisions of a robust forecast are more sensitive to new information, and discusses the relevance of this result to previous findings of excess sensitivity of consumption and asset prices to new information.

MoreLess

Year of publication:	2000
Authors:	Kasa, Kenneth
Institutions:	Federal Reserve Bank of San Francisco
Subject:	Forecasting \| Consumption (Economics) \| Prices

More details

Series:	Working Papers in Applied Economic Theory.
Type of publication:	Book / Working Paper
Notes:	Published in Economics Letters (April 2001, v. 71 no. 1, p43-48) Number 2000-11
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005514425