The Theory of Rationally Heterogeneous Expectations: Evidence from Survey Data on Inflation Expectations
构建了一个预期形成模型，允许代理人从一组有成本的可选预测函数中理性选择，并用调查数据检验是否存在理性异质性预期，发现预测者会根据相对均方误差动态切换预测方法。
Previous work with survey data on inflationary expectations casts doubt on the Rational Expectations Hypothesis. In this paper, we develop a model of expectation formation where agents form their forecasts of inflation by selecting a predictor function from a set of costly alternatives whereby they may rationally choose a method other than the most accurate. We use this model to test whether survey data exhibit rationally heterogeneous expectations. Maximum likelihood is applied to a new discrete choice setting where the observed variable is continuous and the latent variable is discrete. The results show there is dynamic switching that depends on the relative mean squared errors of the predictors.