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Author : Roger Guesnerie
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (62 download)
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:
Author : Robert J. Shiller
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.3/5 (9 download)
Download or read book Alternative Tests of Rational Expectations Models written by Robert J. Shiller and published by . This book was released on 1980 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: A linearized version of the rational expectations models of the term structure is put forth in terms of a complete vector of equally spaced observations along the yield curve. A data series on intermediate maturity yields which meets the specifications of the model is presented. The model is tested against a specific and easily interpreted alternative. Earlier studies of rational expectations models, which used "volatility tests" or "likelihood ratio tests," are discussed.
Author : Ahyee Lee
Publisher :
ISBN 13 :
Total Pages : 79 pages
Book Rating : 4.:/5 (31 download)
Download or read book Alternative Tests of Correlation in a Recursive System and Their Application to Rational Expectations Models written by Ahyee Lee and published by . This book was released on 1987 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frederic S. Mishkin
Publisher : University of Chicago Press
ISBN 13 : 0226531929
Total Pages : 184 pages
Book Rating : 4.2/5 (265 download)
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.
Author : Wanpyo Son
Publisher :
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.:/5 (182 download)
Download or read book A Comparison of Alternative Solution Methods for the Linear Rational Expectations Model written by Wanpyo Son and published by . This book was released on 1986 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Satheesh V. Aradhyula
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.3/5 ( download)
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:
Author : Steven M. Sheffrin
Publisher : Cambridge University Press
ISBN 13 : 9780521479394
Total Pages : 204 pages
Book Rating : 4.4/5 (793 download)
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.
Author : John B. Taylor
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 ( download)
Download or read book Rational Expectations Models in Macroeconomics written by John B. Taylor and published by . This book was released on 1983 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is a review of rational expectations models used in macroeconomic research. The purpose is to examine in some detail the differences between the models, the advantages and disadvantages of alternative models the empirical support for the models and their policy implications. The main theme is that there os a wide diversity among rational expectations models in macroeconomics, despite their common expectational assumptions and methods of analysis. Information-based and contast-based theories are reviewed as alternative models of aggregate supply. A brief review od rational expectations models of the demand side is also provided, along with a discusion of some problems with the rational expextations assumption.
Author : Xavier d' Haultfoeuille
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (17 download)
Download or read book Rationalizing Rational Expectations? written by Xavier d' Haultfoeuille and published by . This book was released on 2018 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different datasets that cannot be matched. We show that whether one can rationalize rational expectations is equivalent to the distribution of realizations being a mean-preserving spread of the distribution of beliefs. The null hypothesis can then be rewritten as a system of many moment inequality and equality constraints, for which tests have been recently developed in the literature. Next, we go beyond testing by defining and estimating the minimal deviations from rational expectations that can be rationalized by the data. In the context of structural models, we build on this concept to propose an easy-to-implement way to conduct a sensitivity analysis on the assumed form of expectations. Finally, we apply our framework to test for and quantify deviations from rational expectations about future earnings, and examine the consequences of such departures in the context of a life-cycle model of consumption.
Author : Tobias F. Rötheli
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 308 pages
Book Rating : 4.F/5 ( download)
Download or read book Expectations, Rationality and Economic Performance written by Tobias F. Rötheli and published by Edward Elgar Publishing. This book was released on 2007 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'To a significant extent, the book is at the cutting edge of much economic thinking in microeconomics. . . it brings together nicely material on uncertainty, expectations and cognitive limitations and relates this to recent work in experimental economics.' - Geoffrey M. Hodgson, University of Hertfordshire, UK 'For more than 200 years, economists have debated the microfoundations of their science. There is only one way forward and that is to carefully examine the nature and the rationality of decision processes. Professor Rötheli's book is unique. He offers an idiosyncratic blend of theoretical analysis and experimental research that enlightens and provokes.' - Werner F.M. De Bondt, DePaul University, US This book offers a broad perspective on the economics of expectations. Experimental studies are used to analyse how human bounded rationality affects economic performance. The challenges posed for policy making are also addressed. Tobias Rötheli begins by presenting the basic tools and theoretical models necessary to our understanding of rational and boundedly rational expectations and their role in economic life. Key topics discussed include expectations in general equilibrium theory, probabilities and expected utility, heterogeneity of economic agents, behavioural alternatives to forecasting and the effects of expectations heuristics, particularly in financial markets. The author then goes on to explore the fascinating insights behavioural economics - the empirical analysis of economic decision making - has to offer. Here experimental studies illustrate the effects of costly information, the role of pattern recognition as basis of expectations, anticipation and coordination failures, and the role of expectations in determining the general price level. The book also addresses the implications of the experimental findings for applied economics. Aiming to achieve the accessibility of a textbook, this research monograph will appeal to economic researchers interested in economic behaviour and theory, as well as students taking upper-level undergraduate and graduate courses. It will also be of interest to economists working in business and government.
Author : N. Gregory Mankiw
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (128 download)
Download or read book Do We Reject Too Often? written by N. Gregory Mankiw and published by . This book was released on 1985 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the small sample properties of tests of rational expectations models. We show using Monte Carlo experiments that the asymptotic distribution of test statistics can be extremely misleading when the tine series examined are highly autoregressive. In particular, a practitioner relying on the asymptotic distribution will reject true models too frequently. We also show that this problem is especially severe with detrended data. We present correct small sample critical values for our canonical problem.
Author : Robert E. Lucas
Publisher : U of Minnesota Press
ISBN 13 : 1452908281
Total Pages : 335 pages
Book Rating : 4.4/5 (529 download)
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 1988 with total page 335 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.
Author : Tom Engsted
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (247 download)
Download or read book Measures of Fit for Rational Expectations Models written by Tom Engsted and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mikael Juselius
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Testing Steady-State Restrictions of Linear Rational Expectations Models When Data are Highly Persistent written by Mikael Juselius and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Steady-state restrictions are commonly imposed on highly persistent variables to achieve stationarity prior to confronting rational expectations models with data. However, the resulting steady-state deviations are often surprisingly persistent indicating that some aspects of the underlying theory may be empirically problematic. This paper discusses how to formulate steady-state restrictions in rational expectations models with latent forcing variables and test their validity using cointegration techniques. The approach is illustrated by testing steady-state restrictions for alternative specifications of the New Keynesian model and shown to be able to discriminate between different assumptions on the sources of the permanent shocks.
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.
Author : Bennett T. McCallum
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 (9 download)
Download or read book On Non-uniqueness in Rational Expectations Models written by Bennett T. McCallum and published by . This book was released on 1981 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many macroeconomic models involving rational expect at ions give rise to an infinity of solution paths, even when the models are linear in all variables. Some writers have suggested that this non-uniqueness constitutes a serious weakness for the rational expectations hypothesis. One purpose of the present paper is to argue that the non-uniqueness in question is not properly attributable to the rationality hypothesis but, instead, is a general feature of dynamic models involving expectations. It is also argued that there typically exists, in a very wide class of linear rational expectations models, a single solution that excludes "bubble" or "bootstrap" effects ones that occur only because they are arbitrarily expected to occur. A systematic procedure for obtaining solutions free from such effects is introduced and discussed. In addition, this procedure is used to interpret and reconsider several prominent examples with solution multiplicities, including ones developed by Fischer Black and John B. Taylor. [Resumen de autor]
Author : M. Hashem Pesaran
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (933 download)
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:
