Supplementary Material > Volume 114 Issue 497 (July 2004)

Volume 114 Issue 497 (July 2004)

The Theory of Rationally Heterogeneous Expectations: Evidence from Survey Data on Inflation Expectations

William A. Branch

 The data contained in the file RHEData.sav runs from 1977.11-1993.12. There are 10 variables and 93,142 observations.

The definitions, calculations, and sources of the variables are as in the manuscript "The Theory of Rationally Heterogenous Expectations: Evidence from Survey Data on Inflation Expectations." Below are the variables as ordered in the file RHEData.sav.

[1] Priceexp: 12-month ahead survey forecast of inflation from the Michigan Survey of Consumers.

[2] Rational: VAR forecast of 12-month ahead annual inflation as computed in equation (14).

[3] Adaptive: Geometric weighted average forecast of 12-month ahead annual inflation as computed in equation (13).

[4] Naive: Forecast of 12-month ahead annual inflation computed using most recent monthly annualized inflation as in Section 3.1.

[5] MSE11lag: This is the most recent squared forecast error from the VAR predictor lagged one period as computed in Section 5.1.

[6] MSE21lag: This is the most recent squared forecast error from the Adaptive predictor lagged one period as computed in Section 5.1.

[7] MSE31lag: This is the most recent squared forecast error from the Naive predictor lagged one period as computed in Section 5.1.

[8] MSE1pt9lag: This is a geometric weighted average of all past squared forecast errors from the Rational predictor (with a decaying rate of .9) lagged one period as computed in Section 5.1.

[9] MSE2pt9lag: This is a geometric weighted average of all past squared forecast errors from the Adaptive predictor (with a decaying rate of .9) lagged one period as computed in Section 5.1.
[10] MSE3pt9lag: This is a geometric weighted average of all past squared forecast errors from the Naive predictor (with a decaying rate of .9) lagged one period as computed in Section 5.1.

Rhedata.zip