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Author : Mark David Feldman
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (15 download)
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:
Author : Arturo Ormeno
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (13 download)
Download or read book Using Survey Data of Inflation Expectations in the Estimation of Learning and Rational Expectations Models written by Arturo Ormeno and published by . This book was released on 2014 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Does survey data contain useful information for estimating macroeconomic models? We address this question by using survey data of inflation expectations to estimate the New Keynesian model by Smets and Wouters (2007) and compare its performance under rational expectations and adaptive learning. The survey information serves as an additional moment restriction and helps us to determine the learning agents' forecasting model for inflation. Adaptive learning fares similarly to rational expectations in fitting macro data, but clearly outperforms rational expectations in fitting macro and survey data simultaneously. In other words survey data contains additional information that is not present in the macro data alone.
Author : Arturo Ormeño
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (753 download)
Download or read book Using Survey Data on Inflation Expectations in the Estimation of Learning and Rational Expectations Models written by Arturo Ormeño and published by . This book was released on 2011 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do survey data on inflation expectations contain useful information for estimating macroeconomic models? I address this question by using survey data in the New Keynesian model by Smets and Wouters (2007) to estimate and compare its performance when solved under the assumptions of Rational Expectations and learning. This information serves as an additional moment restriction and helps to determine the forecasting model for inflation that agents use under learning. My results reveal that the predictive power of this model is improved when using both survey data and an admissible learning rule for the formation of inflation expectations.
Author : George W. Evans
Publisher : Princeton University Press
ISBN 13 : 1400824265
Total Pages : 440 pages
Book Rating : 4.4/5 (8 download)
Download or read book Learning and Expectations in Macroeconomics written by George W. Evans and published by Princeton University Press. This book was released on 2012-01-06 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: A crucial challenge for economists is figuring out how people interpret the world and form expectations that will likely influence their economic activity. Inflation, asset prices, exchange rates, investment, and consumption are just some of the economic variables that are largely explained by expectations. Here George Evans and Seppo Honkapohja bring new explanatory power to a variety of expectation formation models by focusing on the learning factor. Whereas the rational expectations paradigm offers the prevailing method to determining expectations, it assumes very theoretical knowledge on the part of economic actors. Evans and Honkapohja contribute to a growing body of research positing that households and firms learn by making forecasts using observed data, updating their forecast rules over time in response to errors. This book is the first systematic development of the new statistical learning approach. Depending on the particular economic structure, the economy may converge to a standard rational-expectations or a "rational bubble" solution, or exhibit persistent learning dynamics. The learning approach also provides tools to assess the importance of new models with expectational indeterminacy, in which expectations are an independent cause of macroeconomic fluctuations. Moreover, learning dynamics provide a theory for the evolution of expectations and selection between alternative equilibria, with implications for business cycles, asset price volatility, and policy. This book provides an authoritative treatment of this emerging field, developing the analytical techniques in detail and using them to synthesize and extend existing research.
Author : Markus Zenner
Publisher : Springer Science & Business Media
ISBN 13 : 3642518761
Total Pages : 209 pages
Book Rating : 4.6/5 (425 download)
Download or read book Learning to Become Rational written by Markus Zenner and published by Springer Science & Business Media. This book was released on 2013-11-09 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. 1 Rational Expectations and Learning to Become Rational A characteristic feature of dynamic economic models is that, if future states of the economy are uncertain, the expectations of agents mat ter. Producers have to decide today which amount of a good they will produce not knowing what demand will be tomorrow. Consumers have to decide what they spend for consumption today not knowing what prices will prevail tomorrow. Adopting the neo-classical point of view that economic agents are 'rational' in the sense that they behave in their own best interest given their expectations about future states of the ecomomy it is usually assumed that agents are Bayesian deci sion makers. But, as LUCAS points out, there remains an element of indeterminacy: Unfortunately, the general hypothesis that economic agents are Bayesian decision makers has, in many applications, lit tle empirical content: without some way of infering what an agent's subjective view of the future is, this hypothesis is of no help in understanding his behavior. Even psychotic behavior can be (and today, is) understood as "rational", given a sufficiently abnormal view of relevant probabili ties. To practice economics, we need some way (short of psychoanalysis, one hopes) of understanding which decision problem agents are solving. (LucAs (1977, p. 15)) 2 CHAPTER 1. INTRODUCTION 1. 1.
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 : Charles R. Nelson
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (833 download)
Download or read book Rational Expectations and the Estimation of Econometric Models written by Charles R. Nelson and published by . This book was released on 1973 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gregory C. Chow
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (733 download)
Download or read book Estimation of Rational Expectations Models written by Gregory C. Chow and published by . This book was released on 1979 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Theodoor Evert Nijman
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (649 download)
Download or read book Consistent Estimation of Rational Expectations Models written by Theodoor Evert Nijman and published by . This book was released on 1986 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Glenn W. Harrison
Publisher :
ISBN 13 : 9780959673876
Total Pages : 12 pages
Book Rating : 4.6/5 (738 download)
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:
Author : Deborah A. Redman
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.:/5 (43 download)
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 216 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.
Author : Angelo Melino
Publisher :
ISBN 13 :
Total Pages : 422 pages
Book Rating : 4.:/5 (113 download)
Download or read book Essays on Estimation and Inference in Linear Rational Expectations Models written by Angelo Melino and published by . This book was released on 1983 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : G. S. Maddala
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (217 download)
Download or read book Estimation of Models with Controlled Prices Under Rational Expectations written by G. S. Maddala and published by . This book was released on 1983 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Author : Nathan Balke
Publisher : Emerald Group Publishing
ISBN 13 : 1781903050
Total Pages : 480 pages
Book Rating : 4.7/5 (819 download)
Download or read book DSGE Models in Macroeconomics written by Nathan Balke and published by Emerald Group Publishing. This book was released on 2012-11-29 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of Advances in Econometrics contains articles that examine key topics in the modeling and estimation of dynamic stochastic general equilibrium (DSGE) models. Because DSGE models combine micro- and macroeconomic theory with formal econometric modeling and inference, over the past decade they have become an established framework for analy
Author : Lars Peter Hansen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (216 download)
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:
Author : John B. Taylor
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (874 download)
Download or read book Full Information Estimation and Stochastic Simulation of Models with Rational Expectations written by John B. Taylor and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A computationally feasible method for the full information maximum likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconometric models.
