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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
Published by: Ohio State University Press
Stable URL: http://www.jstor.org/stable/2601109
Page Count: 9
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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.
Journal of Money, Credit and Banking © 1998 Ohio State University Press