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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.
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Rhedata.zip
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