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Author : Mark W. Watson
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (165 download)
Download or read book Recursive Solution Methods for Dynamic Linear Rational Expectations Models written by Mark W. Watson and published by . This book was released on 1985 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : L. Broze
Publisher : Routledge
ISBN 13 : 1136457739
Total Pages : 134 pages
Book Rating : 4.1/5 (364 download)
Download or read book Reduced Forms of Rational Expectations Models written by L. Broze and published by Routledge. This book was released on 2013-06-17 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.
Author : Claudio IRIGOYEN
Publisher : Harvard University Press
ISBN 13 : 0674038967
Total Pages : 304 pages
Book Rating : 4.6/5 (74 download)
Download or read book Solutions Manual for Recursive Methods in Economic Dynamics written by Claudio IRIGOYEN and published by Harvard University Press. This book was released on 2009-06-30 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: This solutions manual is a companion volume to the classic textbook Recursive Methods in Economic Dynamics by Nancy L. Stokey and Robert E. Lucas. Efficient and lucid in approach, this manual will greatly enhance the value of Recursive Methods as a text for self-study.
Author : Olivier J. Blanchard
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.0/5 ( download)
Download or read book Methods of Solution and Simulation for Dynamic Rational Expectations Models written by Olivier J. Blanchard and published by . This book was released on 1983 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many methods have been proposed for the solution and simulation of medium or large size models under the assumption of rational expectations. The purpose of this paper is to present these methods, and to show how and where each can be applied. The methods fall into two groups. Methods in the first can be used to solve for perfect foresight paths in non-linear models. Methods in the second can be used in linear models, to solve either for paths or processes followed by endogenous variables. All the methods described here have been used in empirical applications and computer algorithms are available for most.
Author : Seonghoon Cho
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Forward Method as a Solution Refinement in Rational Expectations Models written by Seonghoon Cho and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper generalizes the standard forward method of recursive substitution to a general class of linear Rational Expectations models with potentially multiple fundamental solutions. We propose a key property embedded in the forward solution -- the no-bubble condition -- as an economically sensible solution refinement in the class of fundamental solutions. In the literature, the no-bubble condition has been assumed to rule out non-fundamental bubble solutions. However, since the condition involves expectations of the future endogenous variables, it must be verified for every Rational Expectations equilibrium. We show that the forward solution is the only fundamental solution satisfying the no-bubble condition and that it is hard to justify economically fundamental solutions violating this condition. We provide several economic examples where the fundamental solutions obtained by other solution methods and refined by other solution selection criteria violate the no-bubble condition.
Author : L. Broze
Publisher : Routledge
ISBN 13 : 1136457801
Total Pages : 144 pages
Book Rating : 4.1/5 (364 download)
Download or read book Reduced Forms of Rational Expectations Models written by L. Broze and published by Routledge. This book was released on 2013-06-17 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.
Author : Charles H. Whiteman
Publisher : U of Minnesota Press
ISBN 13 : 1452907935
Total Pages : 151 pages
Book Rating : 4.4/5 (529 download)
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:
Author : Lars Peter Hansen
Publisher : Princeton University Press
ISBN 13 : 0691180733
Total Pages : 418 pages
Book Rating : 4.6/5 (911 download)
Download or read book Recursive Models of Dynamic Linear Economies written by Lars Peter Hansen and published by Princeton University Press. This book was released on 2018-07-10 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the economic modeling of household preferences, from two leaders in the field A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a representative consumer is possible, they also characterize the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis. Hansen and Sargent unite economic theory with a workable econometrics while going beyond and beneath demand and supply curves for dynamic economies. They construct and apply competitive equilibria for a class of linear-quadratic-Gaussian dynamic economies with complete markets. Their book, based on the 2012 Gorman lectures, stresses heterogeneity, aggregation, and how a common structure unites what superficially appear to be diverse applications. An appendix describes MATLAB programs that apply to the book's calculations.
Author : Nancy L. Stokey
Publisher : Harvard University Press
ISBN 13 : 0674735188
Total Pages : 607 pages
Book Rating : 4.6/5 (747 download)
Download or read book Recursive Methods in Economic Dynamics written by Nancy L. Stokey and published by Harvard University Press. This book was released on 1989-10-10 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous but brilliantly lucid book presents a self-contained treatment of modern economic dynamics. Stokey, Lucas, and Prescott develop the basic methods of recursive analysis and illustrate the many areas where they can usefully be applied.
Author : Lars Ljungqvist
Publisher : MIT Press
ISBN 13 : 9780262122740
Total Pages : 1120 pages
Book Rating : 4.1/5 (227 download)
Download or read book Recursive Macroeconomic Theory written by Lars Ljungqvist and published by MIT Press. This book was released on 2004 with total page 1120 pages. Available in PDF, EPUB and Kindle. Book excerpt: A significant new edition of a text that offers both tools and sample applications; extensive revisions and seven new chapters improve and expand upon the original treatment.
Author : Michael Binder
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (377 download)
Download or read book Multivariate Linear Rational Expectations Models written by Michael Binder and published by . This book was released on 1996 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Gourieroux
Publisher : Cambridge University Press
ISBN 13 : 9780521411462
Total Pages : 692 pages
Book Rating : 4.4/5 (114 download)
Download or read book Time Series and Dynamic Models written by Christian Gourieroux and published by Cambridge University Press. This book was released on 1997 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems.
Author : L. Broze
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (715 download)
Download or read book Solutions of Dynamic Linear Rational Expectations Models written by L. Broze and published by . This book was released on 1984 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marco P. Tucci
Publisher : Springer Science & Business Media
ISBN 13 : 1402028741
Total Pages : 268 pages
Book Rating : 4.4/5 (2 download)
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.
Author : Fabio Canova
Publisher : Princeton University Press
ISBN 13 : 140084102X
Total Pages : 509 pages
Book Rating : 4.4/5 (8 download)
Download or read book Methods for Applied Macroeconomic Research written by Fabio Canova and published by Princeton University Press. This book was released on 2011-09-19 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last twenty years have witnessed tremendous advances in the mathematical, statistical, and computational tools available to applied macroeconomists. This rapidly evolving field has redefined how researchers test models and validate theories. Yet until now there has been no textbook that unites the latest methods and bridges the divide between theoretical and applied work. Fabio Canova brings together dynamic equilibrium theory, data analysis, and advanced econometric and computational methods to provide the first comprehensive set of techniques for use by academic economists as well as professional macroeconomists in banking and finance, industry, and government. This graduate-level textbook is for readers knowledgeable in modern macroeconomic theory, econometrics, and computational programming using RATS, MATLAB, or Gauss. Inevitably a modern treatment of such a complex topic requires a quantitative perspective, a solid dynamic theory background, and the development of empirical and numerical methods--which is where Canova's book differs from typical graduate textbooks in macroeconomics and econometrics. Rather than list a series of estimators and their properties, Canova starts from a class of DSGE models, finds an approximate linear representation for the decision rules, and describes methods needed to estimate their parameters, examining their fit to the data. The book is complete with numerous examples and exercises. Today's economic analysts need a strong foundation in both theory and application. Methods for Applied Macroeconomic Research offers the essential tools for the next generation of macroeconomists.
Author : Francis X. Diebold
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (179 download)
Download or read book On the Solution of Dynamic Linear Rational Expectations Models written by Francis X. Diebold and published by . This book was released on 1988 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ramon Marimon
Publisher : OUP Oxford
ISBN 13 : 0191522392
Total Pages : 298 pages
Book Rating : 4.1/5 (915 download)
Download or read book Computational Methods for the Study of Dynamic Economies written by Ramon Marimon and published by OUP Oxford. This book was released on 1999-03-04 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomics increasingly uses stochastic dynamic general equilibrium models to understand theoretical and policy issues. Unless very strong assumptions are made, understanding the properties of particular models requires solving the model using a computer. This volume brings together leading contributors in the field who explain in detail how to implement the computational techniques needed to solve dynamic economics models. A broad spread of techniques are covered, and their application in a wide range of subjects discussed. The book provides the basics of a toolkit which researchers and graduate students can use to solve and analyse their own theoretical models.
