A Bayesian Approach to Inference on Probabilistic Surveys

RePEc Short ID: pca216
ORCID iD: 0000-0003-1746-9190

Bassetti, Federico; Casarin, Roberto; Del Negro, Marco

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A Bayesian Approach to Inference on Probabilistic Surveys

Abstract: We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation from 1982 to 2022 are consistent with the noisy rational expectations hypothesis. We find that, in contrast to theory, for horizons close to two years there is no relationship whatsoever between subjective uncertainty and forecast accuracy for output growth density projections, both across forecasters and over time, and only a mild relationship for inflation projections. As the horizon shortens, the relationship becomes one-to-one as theory predicts.

Keywords: Bayesian nonparametrics; probabilistic surveys; noisy rational expectations;

JEL Classification: C11; C14; C53; C82; E31; E32; E37;