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http://hdl.handle.net/10419/24883
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| Title: | | Modeling the dynamics of EU economic sentiment indicators : an interaction-based approach  |
| Authors: | | Ghonghadze, Jaba Lux, Thomas |
| Issue Date: | | 2009 |
| Citation: | | [Series:] Kiel working paper [No.:] 1487 [Editor:] Kiel Inst. for the World Economy, Kiel |
| Series/Report no.: | | Kiel working paper 1487 |
| Abstract: | | This paper estimates a simple univariate model of expectation or opinion formation in continuous time adapting a 'canonical' stochastic model of collective opinion dynamics (Weidlich and Haag, 1983; Lux, 1995, 2007). This framework is applied to a selected data set on survey-based expectations from the rich EU business and consumer survey database for twelve European countries. The model parameters are estimated through maximum likelihood and numerical solution of the transient probability density functions for the resulting stochastic process. The model's performance is assessed with respect to its out-of-sample forecasting capacity relative to univariate time series models of the ARMA(p; q) and ARFIMA(p; d; q) varieties. These tests speak for a slight superiority of the canonical opinion dynamics model over the alternatives in the majority of cases. |
| Subjects: | | Expectation formation survey-based expectations opinion dynamics Fokker-Planck equation forecasting |
| JEL: | | E32 C83 C53 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des IfW Kieler Arbeitspapiere, IfW Economists Online
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