【主讲】Prof. Xun Lu (The Hong Kong University of Science and Technology)
【主题】Testing for Herding Behavior of Economic Forecasters
【时间】2017年1月6日 (周五) 15：30-17：00
【地点】上海财经大学经济学院楼701室
【语言】英文
【摘要】Forecasters are often strategic in making forecasts. In particular, they may herd (or anti-herd) on some consensus forecast. This paper investigates whether macroeconomic forecasters herd or anti-herd. The existing methods often rely on the strong assumption that the decision model is perfectly known. In this paper, we develop a simple test to test whether this important assumption holds in real data. We also provide new methods for testing herding behavior based on instrumental variables that do not rely on the assumption of perfect knowledge of the decision model. We apply our new methods to a comprehensive macroeconomic forecasting dataset and find forecasters herd.
