Christodoulakis and Mamatzakis (2009, Journal of Applied Econometrics 24, pp. 583–606) estimate the EU Commission loss preferences for selected economic forecasts of 12 EU Member States. They employ the generalized method of moments (GMM) estimation procedure proposed by Elliott et al. (2005, Review of Economic Studies 72, pp. 1107–1125) and find the forecasts to be somewhat optimistic on average. However, this note shows the GMM estimator to possess nonstandard limiting distributions when some of the instruments are highly persistent, which is the case with one of the instruments employed by Christodoulakis and Mamatzakis. Standard distributions are recovered in some interesting particular cases which are relevant in practice. A reexamination of the EU Commission loss preferences using methods robust to persistence and a dataset extended to 2017 reveals that, while the conclusions of the original study are, by and large, still justified, the EU Commission loss preferences have become more symmetric over the whole studied period.

中文翻译：

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重新评估欧盟经济预测的审慎性：工具持久性的作用

Christodoulakis和Mamatzakis（2009年，应用计量经济学杂志24，第583-606页）估计了欧盟委员会针对12个欧盟成员国的部分经济预测所面临的损失偏好。他们采用了Elliott等人提出的广义矩量法（GMM）估计程序。（2005年，经济研究评论（第72页，第1107-1125页），并发现平均而言预测较为乐观。但是，此注释显示，当某些工具具有高度持久性时，GMM估计量将具有非标准的极限分布，而Christodoulakis和Mamatzakis使用的一种工具就是这种情况。在一些与实践相关的有趣的特殊情况下，可以恢复标准分布。使用持久性强的方法和延伸至2017年的数据集对欧盟委员会的损失偏好进行了重新审查，结果表明，尽管原始研究的结论在很大程度上仍是合理的，但欧盟委员会的损失偏好在总体上变得更加对称研究期。