Download or read book Identification and Consistent Estimation of Multivariate Models with Rational Expectations written by L. Broze and published by . This book was released on 1987 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Identification and Consistent Estimation of Multivariate Linear Models with Rational Expectations of Current Variables written by L.. Broze and published by . This book was released on 1986 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Econometric Analysis of Non Uniqueness in Rational Expectations Models written by L. Broze and published by Elsevier. This book was released on 2014-06-28 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the econometric analysis of linear multivariate rational expectation models. It shows that the interpretation of multiplicity in terms of "new degrees of freedom" is consistent with a rigorous econometric reasoning. Non-uniqueness is the central theme of this book. Each chapter is concerned with a specific econometric aspect of rational expectations equilibria. The most constructive result lies in the possibility of an empirical determination of the equilibrium followed by the economy.
Download or read book Estimation and Learning in Models of Rational Expectations written by Mark David Feldman and published by . This book was released on 1982 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Consistent Estimation of Simultaneous Models with Partly Rational Expectations written by Eelke de Jong and published by . This book was released on 1986 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press, USA. This book was released on 2015 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book describes and illustrates many advances that have taken place in a number of areas in theoretical and applied econometrics over the past four decades.
Download or read book Determinacy Indeterminacy and Dynamic Misspecification in Linear Rational Expectations Models written by and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model has a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). Under a proper set of identification restrictions, determinacy is investigated by a misspecification-type approach in which the result of the overidentifying restrictions test obtained from the estimation of the LRE model through a version of generalized method of moments is combined with the result of a likelihood-based test for the cross-equation restrictions that the LRE places on its finite order reduced form under determinacy. This approach (i) circumvents the nonstandard inferential problem that a purely likelihood-based approach implies because of the presence of nuisance parameters that appear under the alternative but not under the null, (ii) does not involve inequality parametric restrictions and nonstandard asymptotic distributions, and (iii) gives rise to a joint test which is consistent against indeterminacy almost everywhere in the space of nuisance parameters, i.e. except for a point of zero measure which gives rise to minimum state variable solutions, and is also consistent against the dynamic misspecification of the LRE model. Monte Carlo simulations show that the testing strategy delivers reasonable size coverage and power in finite samples. An empirical illustration focuses on the determinacy/indeterminacy of a New Keynesian monetary business cycle model for the US.
Download or read book Assessing Dsge Models with Capital Accumulation and Indeterminacy written by Mr.Vadim Khramov and published by International Monetary Fund. This book was released on 2012-03-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of capital. Empirical estimates on U.S. data from 1960:I to 2008:I show the response of monetary policy to inflation was almost twice lower than traditionally considered, as capital accumulation creates an additional channel of influence through real interest rates in the production sector. Versions of the model with indeterminacy empirically outperform determinate versions. This paper allows for the reconsideration of previous findings and has significant monetary policy implications.
Download or read book Reduced Forms of Rational Expectations Models written by L. Broze and published by Routledge. This book was released on 2013-06-17 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.
Download or read book A Closed Form Multivariate Linear Filter written by Mr.Francis Vitek and published by International Monetary Fund. This book was released on 2018-12-10 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous penalty term difference orders and static restrictions, as well as to a generalized problem featuring heterogeneous penalty term difference orders and dynamic restrictions. We use our Generalized Multivariate Linear Filter to jointly estimate potential output, the natural rate of unemployment and the natural rate of interest, conditional on selected equilibrium conditions from a calibrated New Keynesian model.
Download or read book A Rational Expectations Approach to Macroeconometrics written by Frederic S. Mishkin and published by University of Chicago Press. This book was released on 2007-11-01 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.
Download or read book Essays in Honor of Jerry Hausman written by Badi H. Baltagi and published by Emerald Group Publishing. This book was released on 2012-12-17 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.
Download or read book Two step Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models written by M. Hashem Pesaran and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Microeconometrics written by A. Colin Cameron and published by Cambridge University Press. This book was released on 2005-05-09 with total page 1058 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.
Download or read book Introduction to Multivariate Analysis written by Chris Chatfield and published by Routledge. This book was released on 2018-02-19 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an introduction to the analysis of multivariate data.It describes multivariate probability distributions, the preliminary analysisof a large -scale set of data, princ iple component and factor analysis,traditional normal theory material, as well as multidimensional scaling andcluster analysis.Introduction to Multivariate Analysis provides a reasonable blend oftheory and practice. Enough theory is given to introduce the concepts andto make the topics mathematically interesting. In addition the authors discussthe use (and misuse) of the techniques in pra ctice and present appropriatereal-life examples from a variety of areas includ ing agricultural research,soc iology and crim inology. The book should be suitable both for researchworkers and as a text for students taking a course on multivariate analysis.
Download or read book Multivariate Multilinear and Mixed Linear Models written by Katarzyna Filipiak and published by Springer Nature. This book was released on 2021-10-01 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the latest findings on statistical inference in multivariate, multilinear and mixed linear models, providing a holistic presentation of the subject. It contains pioneering and carefully selected review contributions by experts in the field and guides the reader through topics related to estimation and testing of multivariate and mixed linear model parameters. Starting with the theory of multivariate distributions, covering identification and testing of covariance structures and means under various multivariate models, it goes on to discuss estimation in mixed linear models and their transformations. The results presented originate from the work of the research group Multivariate and Mixed Linear Models and their meetings held at the Mathematical Research and Conference Center in Będlewo, Poland, over the last 10 years. Featuring an extensive bibliography of related publications, the book is intended for PhD students and researchers in modern statistical science who are interested in multivariate and mixed linear models.
Download or read book Applied Multivariate Statistical Analysis Classic Version written by Richard A. Johnson and published by Pearson. This book was released on 2018-03-18 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title is part of the Pearson Modern Classics series. Pearson Modern Classics are acclaimed titles at a value price. Please visit www.pearsonhighered.com/math-classics-series for a complete list of titles. For courses in Multivariate Statistics, Marketing Research, Intermediate Business Statistics, Statistics in Education, and graduate-level courses in Experimental Design and Statistics. Appropriate for experimental scientists in a variety of disciplines, this market-leading text offers a readable introduction to the statistical analysis of multivariate observations. Its primary goal is to impart the knowledge necessary to make proper interpretations and select appropriate techniques for analyzing multivariate data. Ideal for a junior/senior or graduate level course that explores the statistical methods for describing and analyzing multivariate data, the text assumes two or more statistics courses as a prerequisite.
