Download or read book Estimating and Testing Rational Expectations Models When the Trend Specification Is Uncertain written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Federal Reserve Bank of San Francisco presents the full text of an article entitled "Estimating and Testing Rational Expectations Models When the Trend Specification Is Uncertain," by Timothy Cogley. The article discusses strategies for estimating and testing rational expectations models when the trend specification is uncertain.

Download or read book Estimating Dynamic Rational Expectations Models when the Trend Specification is Uncertain written by Timothy Cogley and published by . This book was released on 1996 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Download or read book Exact Linear Rational Expectations Models written by Lars Peter Hansen and published by . This book was released on 1981 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

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 Aanwinsten van de Centrale Bibliotheek Queteletfonds written by Bibliothèque centrale (Fonds Quetelet) and published by . This book was released on 2001 with total page 918 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Comparison of Different Methods of Estimating and Testing the Specification of Rational Expectation Model with One Endogenous and Exogenous Variable written by John Denis Sargan 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 Estimation of a Simple Class of Multivariate Rational Expectations Models written by M. Hashem Pesaran and published by . This book was released on 1990 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Comparison of Different Methods of Estimating Testing the Specification of Rational Expectation Models with One Endogenous and One Exogenous Variable written by John Denis Sargan and published by . This book was released on 1992 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Full Versus Limited Information Estimation of a Rational Expectations Model written by Kenneth David West and published by . This book was released on 1986 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares numerically the asymptotic distributions of parameter estimates and test statistics associated with two estimation techniques: (a)a limited information one, which uses instrumental variables to estimate a single equation (Hansen and Singleton (1982)), and (b)a full information one, which uses a procedure asymptotically equivalent to maximum likelihood to simultaneously estimate multiple equations (Hansen and Sargent (1980)). The paper compares the two with respect to both (1)asymptotic efficiency under the null hypothesis of no misspecification, and (2)asymptotic bias and power in the presence of certain local alternatives. It is found that: (l)Full information standard errors are only moderately smaller than limited information standard errors. (2)When the model is misspecified, full information tests tend to be more powerful, and its parameter estimates tend to be more biased. This suggests that at least in the model considered here, the gains from the use of the less robust and computationally more complex full information technique are not particularly large.

Download or read book Rational Expectations Econometrics written by Lars Peter Hansen and published by CRC Press. This book was released on 2019-09-05 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents' knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling. This volume consists of work by two rational expectations pioneers dealing with the "nuts and bolts" problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.

Download or read book On the Limited information Estimation of Rational Expectations Models written by Glenn W. Harrison and published by . This book was released on 1982 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Econometric Modelling with Time Series written by Vance Martin and published by Cambridge University Press. This book was released on 2012-12-28 with total page 982 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalised method of moments estimation, nonparametric estimation and estimation by simulation. An important advantage of adopting the principle of maximum likelihood as the unifying framework for the book is that many of the estimators and test statistics proposed in econometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing econometric textbooks, which deal mainly with the theoretical properties of estimators and test statistics through a theorem-proof presentation, this book squarely addresses implementation to provide direct conduits between the theory and applied work.

Download or read book Time Series and Panel Data Econometrics written by M. Hashem Pesaran and published by Oxford University Press. This book was released on 2015 with total page 1095 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.

Download or read book The Fed in Print written by and published by . This book was released on 1996 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Estimating How the Macroeconomy Works written by Ray C. FAIR and published by Harvard University Press. This book was released on 2009-06-30 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomics tries to describe and explain the economywide movement of prices, output, and unemployment. The field has been sharply divided among various schools, including Keynesian, monetarist, new classical, and others. It has also been split between theorists and empiricists. Ray Fair is a resolute empiricist, developing and refining methods for testing theories and models. The field cannot advance without the discipline of testing how well the models approximate the data. Using a multicountry econometric model, he examines several important questions, including what causes inflation, how monetary authorities behave and what are their stabilization limits, how large is the wealth effect on aggregate consumption, whether European monetary policy has been too restrictive, and how large are the stabilization costs to Europe of adopting the euro. He finds, among other things, little evidence for the rational expectations hypothesis and for the so-called non-accelerating inflation rate of unemployment (NAIRU) hypothesis. He also shows that the U.S. economy in the last half of the 1990s was not a new age economy.