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The Role Of Beliefs In Inference For Rational Expectations Models
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Book Synopsis The Role of Beliefs in Inference for Rational Expectations Models by : Bruce Neal Lehmann
Download or read book The Role of Beliefs in Inference for Rational Expectations Models written by Bruce Neal Lehmann and published by . This book was released on 2005 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses inference for rational expectations models estimated via minimum distance methods by characterizing the probability beliefs regarding the data generating process (DGP) that are compatible with given moment conditions. The null hypothesis is taken to be rational expectations and the alternative hypothesis to be distorted beliefs. This distorted beliefs alternative is analyzed from the perspective of a hypothetical semiparametric Bayesian who believes the model and uses it to learn about the DGP. This interpretation provides a different perspective on estimates, test statistics, and confidence regions in large samples, particularly regarding the economic significance of rejections in rational expectations models
Book Synopsis The Role of Beliefs in Inference for Rational Expectations Models by :
Download or read book The Role of Beliefs in Inference for Rational Expectations Models written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Estimation and Inference in Linear Rational Expectations Models by : Angelo Melino
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 :Melino, Angelo Publisher :Ann Arbor, Mich. : University Microfilms International ISBN 13 : Total Pages :422 pages Book Rating :4.:/5 (113 download)
Book Synopsis Essays on Estimation and Inference in Linear Rational Expectations Models [microform] : a Thesis by : Melino, Angelo
Download or read book Essays on Estimation and Inference in Linear Rational Expectations Models [microform] : a Thesis written by Melino, Angelo and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 1983 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Roles of the Minimal State Variable Criterion in Rational Expectations Models by : Bennett T. McCallum
Download or read book Roles of the Minimal State Variable Criterion in Rational Expectations Models written by Bennett T. McCallum and published by . This book was released on 1999 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Beliefs, Doubts and Learning by : Lars Peter Hansen
Download or read book Beliefs, Doubts and Learning written by Lars Peter Hansen and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores two perspectives on the rational expectations hypothesis. One perspective is that of economic agents in such a model, who form inferences about the future using probabilities implied by the model. The other is that of an econometrician who makes inferences about the probability model that economic agents are presumed to use. Typically it is assumed that economic agents know more than the econometrician, and econometric ambiguity is often withheld from the economic agents. To understand better both of these perspectives and the relation between them, I appeal to statistical decision theory to characterize when learning or discriminating among competing probability models is challenging. I also use choice theory under uncertainty to explore the ramifications of model uncertainty and learning in environments in which historical data may be insufficient to yield precise probability statements. I use both tools to reassess the macroeconomic underpinnings of asset pricing models. I illustrate how statistical ambiguity can alter the risk-return tradeoff familiar from asset pricing; and I show that when real time learning is included risk premia are larger when macroeconomic growth is lower than average.
Book Synopsis Consumer Expectations by : Richard Thomas Curtin
Download or read book Consumer Expectations written by Richard Thomas Curtin and published by Cambridge University Press. This book was released on 2019-02-07 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proposes a new comprehensive theory about how expectations are formed and how they shape the macro economy.
Book Synopsis General Equilibrium Analysis of the Eaton-Kortum Model of International Trade by : Fernando Alvarez
Download or read book General Equilibrium Analysis of the Eaton-Kortum Model of International Trade written by Fernando Alvarez and published by . This book was released on 2005 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a variation of the Eaton-Kortum model, a competitive, constant-returns-to-scale multicountry Ricardian model of trade. We establish existence and uniqueness of an equilibrium with balanced trade where each country imposes an import tariff. We analyze the determinants of the cross-country distribution of trade volumes, such as size, tariffs and distance, and compare a calibrated version of the model with data for the largest 60 economies. We use the calibrated model to estimate the gains of a world-wide trade elimination of tariffs, using the theory to explain the magnitude of the gains as well as the differential effect arising from cross-country differences in pre-liberalization of tariffs levels and country size.
Book Synopsis Rationalizing Rational Expectations? by : Xavier d' Haultfoeuille
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.
Book Synopsis An Experimental Study of Belief by : Tamekichi Okabe
Download or read book An Experimental Study of Belief written by Tamekichi Okabe and published by . This book was released on 1910 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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.
Book Synopsis Macroeconomic Fluctuations and Policies by : Edouard Challe
Download or read book Macroeconomic Fluctuations and Policies written by Edouard Challe and published by MIT Press. This book was released on 2023-09-19 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic tools for analyzing macroeconomic fluctuations and policies, applied to concrete issues and presented within an integrated New Keynesian framework. This textbook presents the basic tools for analyzing macroeconomic fluctuations and policies and applies them to contemporary issues. It employs a unified New Keynesian framework for understanding business cycles, major crises, and macroeconomic policies, introducing students to the approach most often used in academic macroeconomic analysis and by central banks and international institutions. The book addresses such topics as how recessions and crises spread; what instruments central banks and governments have to stimulate activity when private demand is weak; and what “unconventional” macroeconomic policies might work when conventional monetary policy loses its effectiveness (as has happened in many countries in the aftermath of the Great Recession.). The text introduces the foundations of modern business cycle theory through the notions of aggregate demand and aggregate supply, and then applies the theory to the study of regular business-cycle fluctuations in output, inflation, and employment. It considers conventional monetary and fiscal policies aimed at stabilizing the business cycle, and examines unconventional macroeconomic policies, including forward guidance and quantitative easing, in situations of “liquidity trap”—deep crises in which conventional policies are either ineffective or have very different effects than in normal time. This book is the first to use the New Keynesian framework at the advanced undergraduate level, connecting undergraduate learning not only with the more advanced tools taught at the graduate level but also with the large body of policy-oriented research in academic journals. End-of-chapter problems help students master the materials presented.
Book Synopsis A Crisis of Beliefs by : Nicola Gennaioli
Download or read book A Crisis of Beliefs written by Nicola Gennaioli and published by Princeton University Press. This book was released on 2020-03-10 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: "How investor expectations move markets and the economy. The collapse of Lehman Brothers in September 2008 caught markets and regulators by surprise. Although the government rushed to rescue other financial institutions from a similar fate after Lehman, it could not prevent the deepest recession in postwar history. A Crisis of Beliefs makes us rethink the financial crisis and the nature of economic risk. In this authoritative and comprehensive book, two of today's most insightful economists reveal how our beliefs shape financial markets, lead to expansions of credit and leverage, and expose the economy to major risks. Nicola Gennaioli and Andrei Shleifer carefully walk readers through the unraveling of Lehman Brothers and the ensuing meltdown of the US financial system, and then present new evidence to illustrate the destabilizing role played by the beliefs of home buyers, investors, and regulators. Using the latest research in psychology and behavioral economics, they present a new theory of belief formation that explains why the financial crisis came as such a shock to so many people--and how financial and economic instability persist. A must-read for anyone seeking insights into financial markets, A Crisis of Beliefs shows how even the smartest market participants and regulators did not fully appreciate the extent of economic risk, and offers a new framework for understanding today's unpredictable financial waters."--
Book Synopsis NBER Reporter by : National Bureau of Economic Research
Download or read book NBER Reporter written by National Bureau of Economic Research and published by . This book was released on 2005 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Beyond Belief written by John L. Casti and published by CRC Press. This book was released on 2018-02-06 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: How can we predict and explain the phenomena of nature? What are the limits to this knowledge process? The central issues of prediction, explanation, and mathematical modeling, which underlie all scientific activity, were the focus of a conference organized by the Swedish Council for the Planning and Coordination of Research, held at the Abisko Research Station in May of 1989. At this forum, a select group of internationally known scientists in physics, chemistry, biology, economics, sociology and mathematics discussed and debated the ways in which prediction and explanation interact with mathematical modeling in their respective areas of expertise. Beyond Belief is the result of this forum, consisting of 11 chapters written specifically for this volume. The multiple themes of randomness, uncertainty, prediction and explanation are presented using (as vehicles) several topical areas from modern science, such as morphogenetic fields, Boscovich covariance, and atmospheric variability. This multidisciplinary examination of the foundational issues of modern scientific thought and methodology will offer stimulating reading for a very broad scientific audience.
Book Synopsis The Limits of Inference without Theory by : Kenneth I. Wolpin
Download or read book The Limits of Inference without Theory written by Kenneth I. Wolpin and published by MIT Press. This book was released on 2013-04-26 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: The role of theory in ex ante policy evaluations and the limits that eschewing theory places on inference In this rigorous and well-crafted work, Kenneth Wolpin examines the role of theory in inferential empirical work in economics and the social sciences in general—that is, any research that uses raw data to go beyond the mere statement of fact or the tabulation of statistics. He considers in particular the limits that eschewing the use of theory places on inference. Wolpin finds that the absence of theory in inferential work that addresses microeconomic issues is pervasive. That theory is unnecessary for inference is exemplified by the expression “let the data speak for themselves.” This approach is often called “reduced form.” A more nuanced view is based on the use of experiments or quasi-experiments to draw inferences. Atheoretical approaches stand in contrast to what is known as the structuralist approach, which requires that a researcher specify an explicit model of economic behavior—that is, a theory. Wolpin offers a rigorous examination of both structuralist and nonstructuralist approaches. He first considers ex ante policy evaluation, highlighting the role of theory in the implementation of parametric and nonparametric estimation strategies. He illustrates these strategies with two examples, a wage tax and a school attendance subsidy, and summarizes the results from applications. He then presents a number of examples that illustrate the limits of inference without theory: the effect of unemployment benefits on unemployment duration; the effect of public welfare on women's labor market and demographic outcomes; the effect of school attainment on earnings; and a famous field experiment in education dealing with class size. Placing each example within the context of the broader literature, he contrasts them to recent work that relies on theory for inference.
Book Synopsis Real Wage Rigidities and the New Keynesian Model by : Olivier J. Blanchard
Download or read book Real Wage Rigidities and the New Keynesian Model written by Olivier J. Blanchard and published by . This book was released on 2005 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Most central banks perceive a trade-off between stabilizing inflation and stabilizing the gap between output and desired output. However, the standard new Keynesian framework implies no such trade-off. In that framework, stabilizing inflation is equivalent to stabilizing the welfare-relevant output gap. In this paper, we argue that this property of the new Keynesian framework, which we call the "divine coincidence", is due to a special feature of the model: the absence of non trivial real imperfections. We focus on one such real imperfection, namely, real wage rigidities. When the baseline new Keynesian model is extended to allow for real wage rigidities, the divine coincidence disappears, and central banks indeed face a trade-off between stabilizing inflation and stabilizing the welfare-relevant output gap. We show that not only does the extended model have more realistic normative implications, but it also has appealing positive properties. In particular, it provides a natural interpretation for the dynamic inflation--unemployment relation found in the data"--National Bureau of Economic Research web site.
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