Download or read book Testing the Restrictions Implied by the Rational Expectations Hypothesis written by Dennis L. Hoffman and published by . This book was released on 1979 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Wald Test of the Restrictions Implied by the Rational Expectations Hypothesis written by A. J. Snell and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Discriminating Rational Expectations Models with Non nested Hypothesis Testing written by Satheesh V. Aradhyula and published by . This book was released on 1987 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Rational Expectations Hypothesis written by Dennis Lee Hoffman and published by . This book was released on 1978 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing Rational Expectations in a Cointegrated VAR with Abrupt Structural Change written by Emerson Fernandes Marçal and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The rational expectation hypothesis is widely used in finance and macroeconomics. A natural research question comprises investigating whether models that use this hypothesis can fit the data well. Researchers have been developing econometric procedures to test rational expectation models. Johansen and Swensen showed how to test rational expectation restrictions in the case where the data generating process is a cointegrated vector autoregressive model. This study aims to achieve three objectives. The first objective is to extend Johansen and Swensen's framework to the case where the data generating process is a cointegrated vector autoregressive model with abrupt structural change (CVAR-SC). The second goal is to show that the type of rational expectation restrictions analysed in this paper imply co-breaking, as defined by Hendry. Finally, the restrictions on the CVAR-SC parameters implied by the present value model, which is a particular rational expectation model, are analysed and derived, and a test is developed. Two empirical exercises are reported. The first is Engsted's dataset and the second uses the dividend and share prices of an important Brazilian retail bank.

Download or read book Rational Expectations and Econometric Practice written by Robert E. Lucas and published by U of Minnesota Press. This book was released on 1981 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assumptions about how people form expectations for the future shape the properties of any dynamic economic model. To make economic decisions in an uncertain environment people must forecast such variables as future rates of inflation, tax rates, governme.

Download or read book Rational expectations and econometric practice 1 written by Robert E. Lucas and published by U of Minnesota Press. This book was released on 1981 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rational Expectations and Econometric Practice was first published in 1981. Minnesota Archive Editions uses digital technology to make long-unavailable books once again accessible, and are published unaltered from the original University of Minnesota Press editions. Assumptions about how people form expectations for the future shape the properties of any dynamic economic model. To make economic decisions in an uncertain environment people must forecast such variables as future rates of inflation, tax rates, government subsidy schemes and regulations. The doctrine of rational expectations uses standard economic methods to explain how those expectations are formed. This work collects the papers that have made significant contributions to formulating the idea of rational expectations. Most of the papers deal with the connections between observed economic behavior and the evaluation of alternative economic policies. Robert E. Lucas, Jr., is professor of economics at the University of Chicago. Thomas J. Sargent is professor of economics at the University of Minnesota and adviser to the Federal Reserve Bank of Minnesota.

Download or read book Rational Expectations written by Steven M. Sheffrin and published by Cambridge University Press. This book was released on 1996-06-13 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops the idea of rational expectations and surveys its use in economics today.

Download or read book Rational Expectations and the Theory of Economic Policy written by Thomas J. Sargent and published by . This book was released on 1975 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Alternative Tests of the Rational Expectations Hypothesis in Economic Dynamical Models written by Roger Guesnerie and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advanced Econometric Methods written by Thomas B. Fomby and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 637 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book had its conception in 1975in a friendly tavern near the School of Businessand PublicAdministration at the UniversityofMissouri-Columbia. Two of the authors (Fomby and Hill) were graduate students of the third (Johnson), and were (and are) concerned about teaching econometrics effectively at the graduate level. We decided then to write a book to serve as a comprehensive text for graduate econometrics. Generally, the material included in the bookand itsorganization have been governed by the question, " Howcould the subject be best presented in a graduate class?" For content, this has meant that we have tried to cover " all the bases " and yet have not attempted to be encyclopedic. The intended purpose has also affected the levelofmathematical rigor. We have tended to prove only those results that are basic and/or relatively straightforward. Proofs that would demand inordinant amounts of class time have simply been referenced. The book is intended for a two-semester course and paced to admit more extensive treatment of areas of specific interest to the instructor and students. We have great confidence in the ability, industry, and persistence of graduate students in ferreting out and understanding the omitted proofs and results. In the end, this is how one gains maturity and a fuller appreciation for the subject in any case. It is assumed that the readers of the book will have had an econometric methods course, using texts like J. Johnston's Econometric Methods, 2nd ed.

Download or read book The Structural Econometric Time Series Analysis Approach written by Arnold Zellner and published by Cambridge University Press. This book was released on 2004-10-21 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bringing together a collection of previously published work, this book provides a discussion of major considerations relating to the construction of econometric models that work well to explain economic phenomena, predict future outcomes and be useful for policy-making. Analytical relations between dynamic econometric structural models and empirical time series MVARMA, VAR, transfer function, and univariate ARIMA models are established with important application for model-checking and model construction. The theory and applications of these procedures to a variety of econometric modeling and forecasting problems as well as Bayesian and non-Bayesian testing, shrinkage estimation and forecasting procedures are also presented and applied. Finally, attention is focused on the effects of disaggregation on forecasting precision and the Marshallian Macroeconomic Model that features demand, supply and entry equations for major sectors of economies is analysed and described. This volume will prove invaluable to professionals, academics and students alike.

Download or read book The Rational Expectation Hypothesis Time Varying Parameters and Adaptive Control written by Marco P. Tucci and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the major controversies in macroeconomics over the last 30 years has been that on the effectiveness of stabilization policies. However, this debate, between those who believe that this kind of policies is useless if not harmful and those who argue in favor of it, has been mainly theoretical so far. The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control wants to represent a step toward the construction of a common ground on which to empirically compare the two "beliefs" and to do this three strands of literature are brought together. The first strand is the research on time-varying parameters (TVP), the second strand is the work on adaptive control and the third one is the literature on linear stationary models with rational expectations (RE). The material presented in The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control is divided into two parts. Part 1 combines the strand of literature on adaptive control with that on TVP. It generalizes the approach pioneered by Tse and Bar-Shalom (1973) and Kendrick (1981) and one recently used in Amman and Kendrick (2002), where the law of motion of the TVP and the hyperstructural parameters are assumed known, to the case where the hyperstructural parameters are assumed unknown. Part 2 is devoted to the linear single-equation stationary RE model estimated with the error-in-variables (EV) method. It presents a new formulation of this problem based on the use of TVP in an EV model. This new formulation opens the door to a very promising development. All the theory developed in the first part to control a model with TVP can sic et simpliciter be applied to control a model with RE.

Download or read book Tests of the Rational Expectations written by Junji Yano and published by . This book was released on 1987 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Expectations and Economic Policy written by Stanley Fischer and published by University of Chicago Press. This book was released on 2008-04-15 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Several areas in economics today have unprecedented significance and vitality. Most people would agree that stabilization policy ranks with the highest of these. Continuing inflation and periodic serious acceleration of inflation combined with high and secularly rising unemployment combine to give the area high priority. This book brings us up to date on an extremely lively discussion involving the role of expectations, and more particularly rational expectations, in the conduct of stabilization policy. . . . Anyone interested in the role of government in economics should read this important book."—C. Glyn Williams, The Wall Street Review of Books "This is a most timely and valuable contribution. . . . The contributors and commentators are highly distinguished and the editor has usefully collated comments and the ensuing discussion. Unusually for a conference proceedings the book is well indexed and it is also replete with numerous and up-to-date references. . . . This is the first serious book to examine the rational expectations thesis in any depth, and it will prove invaluable to anyone involved with macroeconomic policy generally and with monetary economics in particular."—G. K. Shaw, The Economic Journal

Download or read book Rational Expectations the Expectations Hypothesis and Treasury Bill Yields written by David S. Jones and published by . This book was released on 1982 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests the joint hypothesis of rational expectations and the expectations model of the term structure for three- and six-month Treasury bills. Previous studies are extended in three directions. First, common efficient markets-rational expectations tests are compared, and it is shown that four of the five tests considered are asymptotically equivalent, and that the fifth is less restrictive than the other four. Second, the joint hypothesis is tested using weekly data for Treasury bills maturing in exactly 13 and 26 weeks beginning in 1970 and ending in 1979. In contrast, previous studies using comparable data have typically discarded 12/13 of the sample to form a nonoverlapping data set. Finally, a more complete set of possible determinants of time-varying term premiums is tested.