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Alternative procedures for converting qualitative response data to quantitative expectations : an application to Australian manufacturing
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Smith, Jeremy and McAleer, M. (1992) Alternative procedures for converting qualitative response data to quantitative expectations : an application to Australian manufacturing. In: Australasian Meeting of the Econometric-Society , Melbourne, Australia, Jul 1992. Published in: Journal of Applied Econometrics, Volume 10 (Number 2). pp. 165-185. ISSN 0883-7252.
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Official URL: http://dx.doi.org/10.1002/jae.3950100206
Abstract
This paper analyses and extends alternative procedures for converting qualitative expectations responses to quantitative expectations. A number of conversion procedures is investigated, including the probability model, the time-varying parameter probability model, and the regression approach. The informational content of the survey expectations is compared with simple time series models. It is found that the expectations models are superior for many series, both in terms of producing lower forecast root mean square error (RMSE) values and in detecting turning points in the actual data. Survey expectations are also tested for rational expectations in aggregate using the orthogonality test.
Item Type: | Conference Item (Paper) | ||||
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Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences |
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Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | Journal of Applied Econometrics | ||||
Publisher: | Wiley-Blackwell Publishing, Inc | ||||
ISSN: | 0883-7252 | ||||
Official Date: | 1992 | ||||
Dates: |
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Volume: | Volume 10 | ||||
Number: | Number 2 | ||||
Number of Pages: | 21 | ||||
Page Range: | pp. 165-185 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | Australasian Meeting of the Econometric-Society | ||||
Type of Event: | Other | ||||
Location of Event: | Melbourne, Australia | ||||
Date(s) of Event: | Jul 1992 |
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