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 Full Versus Limited Information Estimation of a Rational Expectations Model written by Kenneth D. West and published by . This book was released on 1984 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Linear Rational Expectations Models written by Charles H. Whiteman and published by U of Minnesota Press. This book was released on 1984 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Full Information Estimation and Stochastic Simulation of Models with Rational Expectations written by Ray C. Fair and published by . This book was released on 1989 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Reader s Guide to Rational Expectations written by Deborah A. Redman and published by Edward Elgar Publishing. This book was released on 1992 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: The major purpose of this work is to make staying up to date with rational expectations (RE) easier for economists in government, academia and industry, as well as for students.
Download or read book Assessing Rational Expectations 2 written by Roger Guesnerie and published by MIT Press. This book was released on 2005-02-18 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: A theoretical assessment of the Rational Expectations Hypothesis through subjecting a collection of economic models to an "eductive stability" test. The rational expectations hypothesis (REH) dominates economic modeling in areas ranging from monetary theory, macroeconomics, and general equilibrium to finance. In this book, Roger Guesnerie continues the critical analysis of the REH begun in his Assessing Rational Expectations: Sunspot Multiplicity and Economic Fluctuations, which dealt with the questions raised by multiplicity and its implications for a theory of endogenous fluctuations. This second volume emphasizes "eductive" learning: relying on careful reasoning, agents must deduce what other agents guess, a process that differs from the standard evolutionary learning experience in which agents make decisions about the future based on past experiences. A broad "eductive" stability test is proposed that includes common knowledge and results in a unique "rationalizable expectations equilibrium." This test provides the basis for Guesnerie's theoretical assessment of the plausibility of the REH's expectational coordination, emphasizing, for different categories of economic models, conditions for the REH's success or failure. Guesnerie begins by presenting the concepts and methods of the eductive stability analysis in selected partial equilibrium models. He then explores to what extent general equilibrium strategic complementarities interfere with partial equilibrium considerations in the formation of stable expectations. Guesnerie next examines two issues relating to eductive stability in financial market models, speculation and asymmetric price information. The dynamic settings of an infinite horizon model are then taken up, and particular standard and generalized saddle-path solutions are scrutinized. Guesnerie concludes with a review of general questions and some "cautious" remarks on the policy implications of his analysis.
Download or read book Rational Expectations and Econometric Practice written by Robert E. Lucas (Jr) and published by . This book was released on 1981 with total page 689 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Estimation of Dynamic Limited dependent Rational Expectation Models written by Lung-fei Lee and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 A Note on Maximum Likelihood Estimation of the Rational Expectations Model of the Term Structure written by Thomas J. Sargent and published by . This book was released on 1977 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Rational Expectations written by Graham Keith Shaw and published by . This book was released on 1984 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Computationally Efficient Solution and Maximum Likelihood Estimation of Nonlinear Rational Expectation Models written by Jeffrey C. Fuhrer 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 Solving Large Scale Rational Expectation Models written by Jess Gaspar and published by . This book was released on 1997 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
