Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/24883 
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dc.contributor.authorGhonghadze, Jabaen
dc.contributor.authorLux, Thomasen
dc.date.accessioned2009-03-11-
dc.date.accessioned2009-04-09T07:48:35Z-
dc.date.available2009-04-09T07:48:35Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/24883-
dc.description.abstractThis 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.en
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aKiel Working Paper |x1487en
dc.subject.jelE32en
dc.subject.jelC83en
dc.subject.jelC53en
dc.subject.ddc330en
dc.subject.keywordExpectation formationen
dc.subject.keywordsurvey-based expectationsen
dc.subject.keywordopinion dynamicsen
dc.subject.keywordFokker-Planck equationen
dc.subject.keywordforecastingen
dc.subject.stwGeschäftsklimaen
dc.subject.stwKonsumklimaen
dc.subject.stwKonjunkturumfrageen
dc.subject.stwErwartungstheorieen
dc.subject.stwÖffentliche Meinungen
dc.subject.stwSoziale Beziehungenen
dc.subject.stwDynamisches Modellen
dc.subject.stwKonjunkturprognoseen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwEU-Staatenen
dc.titleModeling the dynamics of EU economic sentiment indicators: an interaction-based approach-
dc.typeWorking Paperen
dc.identifier.ppn593508408en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ifwkwp:1487en

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