Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Disagreement as a Measure of Uncertainty: A Comment on Bomberg

Robert W. Rich and J. S. Butler
Journal of Money, Credit and Banking
Vol. 30, No. 3, Part 1 (Aug., 1998), pp. 411-419
DOI: 10.2307/2601109
Stable URL: http://www.jstor.org/stable/2601109
Page Count: 9
  • Get Access
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Disagreement as a Measure of Uncertainty: A Comment on Bomberg
Preview not available

Abstract

This paper reexamines Bomberger's (1996) empirical support for the use of measured disagreement across survey respondents for the Livingston CPI series as a proxy for inflation uncertainty. We draw attention to violations of modeling assumptions for maximum likelihood estimation that result from the overlapping nature of the forecasts. Building upon the work of Rich, Raymond and Butler (1992), we employ a Generalized Method of Moments (GMM) estimation procedure and document that disagreement does not provide significant predictive content for inflation uncertainty after accounting for Autoregressive Conditional Heteroskedasticity (ARCH) effects in the data.

Page Thumbnails

  • Thumbnail: Page 
[411]
    [411]
  • Thumbnail: Page 
412
    412
  • Thumbnail: Page 
413
    413
  • Thumbnail: Page 
414
    414
  • Thumbnail: Page 
415
    415
  • Thumbnail: Page 
416
    416
  • Thumbnail: Page 
417
    417
  • Thumbnail: Page 
418
    418
  • Thumbnail: Page 
419
    419