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Heterogeneity of Beliefs and Information Rigidity in the Crude Oil Market: Evidence from Survey Data. (2021). Czudaj, Robert.
In: Chemnitz Economic Papers.
RePEc:tch:wpaper:cep050.

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  2. All time series have been scaled to a zero mean and a variance of unity. (a) h = 1 −2 0 2 4 2003 2005 2007 2009 2011 2013 2015 2017 2019 (1) Oil price uncertainty (2) US EPU (3) EA EPU (4) GEPU (5) Macro uncertainty (6) Financial uncertainty (7) Rossi uncertainty (b) h = 4 −2 0 2 4 2003 2005 2007 2009 2011 2013 2015 2017 2019 (1) Oil price uncertainty (2) US EPU (3) EA EPU (4) GEPU (5) Macro uncertainty (6) Financial uncertainty (7) Rossi uncertainty
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  62. This results in the fact that forecast revisions are not available for h = 4 since the four-quarters-ahead forecast for each t refers to a quarter that has not been forecasted in the previous quarter. Heteroskedasticity and autocorrelation consistent (HAC) standard errors (se) following Andrews (1991) are provided in parentheses and p-values are given in square brackets. γ denotes the degree of information rigidity and is computed as γ = β1/(1 + β1). G gives the weight on new information and is calculated as G = 1/(1 + β1).
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