Long-run expectations in a learning-to-forecast experiment: A Simulation Approach

We conduct a Learning to Forecast Experiment using a novel setting in which we elicit subjects’ short- and long-run expectations on the future price of an asset. We find that: (i) the rational expectations equilibrium is not a meaningful description for the whole time spectrum of subjects’ expectations; (ii) they are, instead, better described by an anchor-and-adjustment learning scheme; (iii) subjects exhibit a higher degree of heterogeneity in their long-run expectations vis-à-vis short-run expectations