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Solving Linear Rational Expectations Models With Lagged Expectations Quickly And Easily
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Book Synopsis Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily by :
Download or read book Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A solution method is derived in this paper for solving a system of linear rational-expectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of a Generalized Schur Decomposition familiar elsewhere in the literature and a simple system of linear equations when lagged expectations are present to the infinite MA representation. Execution is faster, applicability more general, and use more straight-forward than with existing algorithms. Current methods of truncating lagged expectations are shown to not generally be innocuous and the use of such methods are rendered obsolete by the tremendous gains in computational efficiency of the method here which allows for a solution to floating-point accuracy in a fraction of the time required by standard methods. The associated computational application of the method provides impulse responses to anticipated and unanticipated innovations, simulations, and frequency-domain and simulated moments. -- Lagged expectations ; linear rational expectations models; block tridiagonal ; Generalized Schur Form ; QZ decomposition ; LAPACK
Book Synopsis Linear Rational Expectations Models by : Charles H. Whiteman
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:
Book Synopsis Reduced Forms of Rational Expectations Models by : L. Broze
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.
Book Synopsis Methods of Solution and Simulation for Dynamic Rational Expectations Models by : Olivier J. Blanchard
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.
Book Synopsis Rational Expectations Econometrics by : Lars Peter Hansen
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.
Book Synopsis A Robust and Efficient Method for Solving Nonlinear Rational Expectations Models by : Mr.Douglas Laxton
Download or read book A Robust and Efficient Method for Solving Nonlinear Rational Expectations Models written by Mr.Douglas Laxton and published by International Monetary Fund. This book was released on 1996-09-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of a new algorithm that is used for solving MULTIMOD, the IMF’s multicountry model of the world economy. This algorithm is considerably faster and much less prone to simulation failures than to traditional algorithms and can also be used to solve individual country models of the same size.
Book Synopsis Rational Expectations in Macroeconomic Models by : P. Fisher
Download or read book Rational Expectations in Macroeconomic Models written by P. Fisher and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is commonly believed that macroeconomic models are not useful for policy analysis because they do not take proper account of agents' expectations. Over the last decade, mainstream macroeconomic models in the UK and elsewhere have taken on board the `Rational Expectations Revolution' by explicitly incorporating expectations of the future. In principle, one can perform the same technical exercises on a forward expectations model as on a conventional model -- and more! Rational Expectations in Macroeconomic Models deals with the numerical methods necessary to carry out policy analysis and forecasting with these models. These methods are often passed on by word of mouth or confined to obscure journals. Rational Expectations in Macroeconomic Models brings them together with applications which are interesting in their own right. There is no comparable textbook in the literature. The specific subjects include: (i) solving for model consistent expectations; (ii) the choice of terminal condition and time horizon; (iii) experimental design: i.e., the effect of temporary vs permanent, anticipated vs. unanticipated shocks; deterministic vs. stochastic, dynamic vs. static simulation; (iv) the role of exchange rate; (v) optimal control and inflation-output tradeoffs. The models used are those of the Liverpool Research Group in Macroeconomics, the London Business School and the National Institute of Economic and Social Research.
Book Synopsis Solving Reduced-form Linear Rational Expectations Models by : Jae Won Lee
Download or read book Solving Reduced-form Linear Rational Expectations Models written by Jae Won Lee and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Solving Linear Rational Expectations Models by : Gary A. Anderson
Download or read book Solving Linear Rational Expectations Models written by Gary A. Anderson and published by . This book was released on 2006 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Solving Linear Rational Expectations Models with Predictable Structural Changes by : Adam Cagliarini
Download or read book Solving Linear Rational Expectations Models with Predictable Structural Changes written by Adam Cagliarini and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Linear Rational Expectations Models by : Charles H. Whiteman
Download or read book Linear Rational Expectations Models written by Charles H. Whiteman and published by . This book was released on 1983-01-01 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control by : Marco P. Tucci
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.
Book Synopsis Solving Large Scale Rational Expectation Models by : Jess Gaspar
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:
Book Synopsis Solving and Estimating Indeterminate DSGE Models by : Mr.Roger Farmer
Download or read book Solving and Estimating Indeterminate DSGE Models written by Mr.Roger Farmer and published by International Monetary Fund. This book was released on 2013-10-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.
Book Synopsis Solutions of Dynamic Linear Rational Expectations Models by : L. Broze
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:
Book Synopsis Solution and Estimation of Linear Rational Expectations Models by : Michael K. Salemi
Download or read book Solution and Estimation of Linear Rational Expectations Models written by Michael K. Salemi and published by . This book was released on 1983 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Non-uniqueness in Rational Expectations Models by : Bennett T. McCallum
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]
