Federal Reserve Bank of San Francisco
Working Paper Series
A robust Hansen-Sargent prediction formula
This paper derives a formula for the optimal forecast of a discounted sum of future values of a random variable. This problem reflects a preference for robustness in the presence of (unstructured) model uncertainty. The paper shows that revisions of a robust forecast are more sensitive to new information, and discusses the relevance of this result to previous findings of excess sensitivity of consumption and asset prices to new information.
No download available
Cite this item
Kenneth Kasa, A robust Hansen-Sargent prediction formula, Federal Reserve Bank of San Francisco, Working Paper Series 2000-11, 2000.
Keywords: Forecasting ; Consumption (Economics) ; Prices
This item with handle RePEc:fip:fedfwp:2000-11
is also listed on EconPapers
For corrections, contact Noah Pollaczek ()