The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models …. Existing numerical implementations for finding the confidence set use an elimination approach where one starts with the full … rejected at a given confidence level. The intuition behind the proposed implementation lies in reversing the process: one …

This paper considers a sticky price model with a cash-in-advance constraint where agents forecast inflation rates with …. While average output and inflation result the same as under rational expectations, higher moments differ substantially …: output and inflation show persistence, inflation responds sluggishly to nominal disturbances, and the dynamic correlations of …