Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/24883 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Kiel Working Paper No. 1487
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
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.
Schlagwörter: 
Expectation formation
survey-based expectations
opinion dynamics
Fokker-Planck equation
forecasting
JEL: 
E32
C83
C53
Dokumentart: 
Working Paper

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