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Dominiak, Adam; Gersbach, Hans - 2024

We study communication in ambiguous environments. Agents communicate individual decisions sequentially. Based on the …, the decisions differ no matter how long the communication lasts. Such persistent disagreements are precluded in Bayesian … frameworks endowed with a common prior. When communication is private and nobody is excluded from it, we show that ambiguity …

Persistent link: https://www.econbiz.de/10014484275

Learning, disagreement and inflation forecasting

Chen, Ji; Yang, Xinglin; Liu, Xiliang - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10014225817

Learning to Average Predictively Over Good and Bad : Comment on: Using Stacking to Average Bayesian Predictive Distributions

Hoogerheide, Lennart - 2018

We suggest to extend the stacking procedure for a combination of predictive densities, proposed by Yao et al in the journal Bayesian Analysis to a setting where dynamic learning occurs about features of predictive densities of possibly misspecified models. This improves the averaging process of...

Persistent link: https://www.econbiz.de/10012913233

DSGE model forecasting : rational expectations vs. adaptive learning

Warne, Anders - 2023

This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model...

Persistent link: https://www.econbiz.de/10013492913

Exchange Rate Predictability and Dynamic Bayesian Learning

Beckmann, Joscha - 2019

This paper considers how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of different vector autoregressive models, the investor is able, each period, to revise past predictive mistakes and learn about...

Persistent link: https://www.econbiz.de/10012897719