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The Rational Expectation Hypothesis Time Varying Parameters And Adaptive Control
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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 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. This book was released on 2012-08-07 with total page 262 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 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 . This book was released on 1993 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time varying parameters and the rational expectations hypothesis by : Marco P. Tucci
Download or read book Time varying parameters and the rational expectations hypothesis written by Marco P. Tucci and published by . This book was released on 2004 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Computational Economics by : Karl Schmedders
Download or read book Handbook of Computational Economics written by Karl Schmedders and published by Newnes. This book was released on 2013-12-31 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Economics summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods. With computational power increasing in hardware and algorithms, many economists are closing the gap between economic practice and the frontiers of computational mathematics. In their efforts to accelerate the incorporation of computational power into mainstream research, contributors to this volume update the improvements in algorithms that have sharpened econometric tools, solution methods for dynamic optimization and equilibrium models, and applications to public finance, macroeconomics, and auctions. They also cover the switch to massive parallelism in the creation of more powerful computers, with advances in the development of high-power and high-throughput computing. Much more can be done to expand the value of computational modeling in economics. In conjunction with volume one (1996) and volume two (2006), this volume offers a remarkable picture of the recent development of economics as a science as well as an exciting preview of its future potential. - Samples different styles and approaches, reflecting the breadth of computational economics as practiced today - Focuses on problems with few well-developed solutions in the literature of other disciplines - Emphasizes the potential for increasing the value of computational modeling in economics
Download or read book Journal of Economic Literature written by and published by . This book was released on 2005 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time-varying Parameters in Adaptive Control by : Marco Paolo Tucci
Download or read book Time-varying Parameters in Adaptive Control written by Marco Paolo Tucci and published by . This book was released on 1991 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Rational Expectations by : Graham Keith Shaw
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:
Book Synopsis Rational Expectations by : Steven M. Sheffrin
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 Expectations written by K. Holden and published by . This book was released on 1985 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The British National Bibliography by : Arthur James Wells
Download or read book The British National Bibliography written by Arthur James Wells and published by . This book was released on 2005 with total page 1664 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of Economic Dynamics & Control by :
Download or read book Journal of Economic Dynamics & Control written by and published by . This book was released on 2003 with total page 1158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Empirical Implications of the Rational Expectations Hypothesis by : E. W. M. T. Westerhout
Download or read book The Empirical Implications of the Rational Expectations Hypothesis written by E. W. M. T. Westerhout and published by . This book was released on 1991 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields by : David S. Jones
Download or read book Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields written by David S. Jones and published by . This book was released on 1982 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests the joint hypothesis of rational expectations and the expectations model of the term structure for three- and six-month Treasury bills. Previous studies are extended in three directions. First, common efficient markets-rational expectations tests are compared, and it is shown that four of the five tests considered are asymptotically equivalent, and that the fifth is less restrictive than the other four. Second, the joint hypothesis is tested using weekly data for Treasury bills maturing in exactly 13 and 26 weeks beginning in 1970 and ending in 1979. In contrast, previous studies using comparable data have typically discarded 12/13 of the sample to form a nonoverlapping data set. Finally, a more complete set of possible determinants of time-varying term premiums is tested.
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]
Download or read book Robustness written by Lars Peter Hansen and published by Princeton University Press. This book was released on 2016-06-28 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.
Book Synopsis A Reader's Guide to Rational Expectations by : Deborah A. Redman
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.
