DISAGREEMENT AS A MEASURE OF UNCERTAINTY

This paper reexamines Bomberger's (1996) empirical support for the use of measured disagreement across survey respondents for the Livingston CPI series as a proxy for inflation uncertainty. We draw attention to violations of modeling assumptions for maximum likelihood estimation that result from the overlapping nature of the forecasts. Building upo n the work of Rich, Raymond and Butler (1992), we employ a Generalized Method of Moments (GMM) estimation procedure and document that disagr eement does not provide significant predictive content for inflation u ncertainty after accounting for Autoregressive Conditional Heteroskeda sticity (ARCH) effects in the data.