Misspecified Expectations among Professional Forecasters
分析了专业预测者的预期形成，发现一种模型认为预测者错误理解数据生成过程，导致对持久性产生错误看法，该模型在拟合预测误差和修正时优于其他模型，且允许预测误差持续更久。
Abstract Analyzing professional forecasts, I find that a model of expectation formation in which respondents misperceive the law of motion of the data generating process, which in turn causes them to form an erroneous view of its underlying persistence, outperforms alternative models when fit to forecast errors and revisions. Misspecified expectations, which outperforms the alternatives in and out of sample and for a variety of macro‐economic variables, is successful in part because it allows forecast errors to be longer lived. I conclude that misspecified expectations can serve as a suitable way of modeling expectation formation among professional forecasters.