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Solving Reduced Form Linear Rational Expectations Models
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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 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 305 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 The Econometric Analysis of Non-Uniqueness in Rational Expectations Models by : L. Broze
Download or read book The Econometric Analysis of Non-Uniqueness in Rational Expectations Models written by L. Broze and published by Elsevier. This book was released on 2014-06-28 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the econometric analysis of linear multivariate rational expectation models. It shows that the interpretation of multiplicity in terms of "new degrees of freedom" is consistent with a rigorous econometric reasoning. Non-uniqueness is the central theme of this book. Each chapter is concerned with a specific econometric aspect of rational expectations equilibria. The most constructive result lies in the possibility of an empirical determination of the equilibrium followed by the economy.
Book Synopsis Time Series and Dynamic Models by : Christian Gourieroux
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.
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 The New Palgrave Dictionary of Money and Finance by : John Eatwell
Download or read book The New Palgrave Dictionary of Money and Finance written by John Eatwell and published by Springer. This book was released on 1992-10-14 with total page 869 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first reference work ever to be awarded the Eccles Prize for Excellence in Economic Writing from Columbia Business School. Continuing in the tradition of The New Palgrave , this 3-volume set provides an unparalleled guide to modern money, banking and finance. In over 1,000 substantial essays by leading academic and professional authorities, it provides the most comprehensive analysis available of contemporary theory and the fast-evolving global monetary and financial framework. In its scope and depth of coverage, it is indispensable for the academic and practitioner alike.
Book Synopsis An Econometric Rational Expectations Macroeconomic Model for Developing Countries with Capital Controls by : International Monetary Fund
Download or read book An Econometric Rational Expectations Macroeconomic Model for Developing Countries with Capital Controls written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-02-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: A small macroeconomic model based on familiar theoretical considerations is developed and estimated using data from 31 developing countries. Efficient estimation techniques are used to control for country heterogeneity under the assumption of rational expectations. The estimates and the test statistics suggest that the model could serve well as a framework for developing-country macroeconomic analysis. An interesting feature of the specification of the model is that it allows the hypothesis of capital mobility to be explicitly tested. The empirical analysis suggests that on average developing countries tend to exhibit a high degree of capital mobility.
Book Synopsis Advances in Econometrics: Volume 1 by : Truman F. Bewley
Download or read book Advances in Econometrics: Volume 1 written by Truman F. Bewley and published by Cambridge University Press. This book was released on 1994-06-24 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: With its focus on econometrics, this volume contains key papers delivered at the Fifth World Congress in 1985.
Book Synopsis The Journal of Agricultural Economics Research by :
Download or read book The Journal of Agricultural Economics Research written by and published by . This book was released on 1993 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of Agricultural Economics Research by :
Download or read book Journal of Agricultural Economics Research written by and published by . This book was released on 1991 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Journal of Statistical Research by :
Download or read book Journal of Statistical Research written by and published by . This book was released on 1991 with total page 284 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 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 The Oxford Handbook of Computational Economics and Finance by : Shu-Heng Chen
Download or read book The Oxford Handbook of Computational Economics and Finance written by Shu-Heng Chen and published by Oxford University Press. This book was released on 2018 with total page 785 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.
Book Synopsis Time Series Analysis and Macroeconometric Modelling by : Kenneth Frank Wallis
Download or read book Time Series Analysis and Macroeconometric Modelling written by Kenneth Frank Wallis and published by Edward Elgar Publishing. This book was released on 1995-01-01 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'An excellent reference volume of this author's work, bringing together articles published over a 25 year span on the statistical analysis of economic time series, large scale macroeconomic modelling and the interface between them.' - Aslib Book Guide This major volume of essays by Kenneth F. Wallis features 28 articles published over a quarter of a century on the statistical analysis of economic time series, large-scale macroeconometric modelling, and the interface between them. The first part deals with time-series econometrics and includes significant early contributions to the development of the LSE tradition in time-series econometrics, which is the dominant British tradition and has considerable influence worldwide. Later sections discuss theoretical and practical issues in modelling seasonality and forecasting with applications in both large-scale and small-scale models. The final section summarizes the research programme of the ESRC Macroeconomic Modelling Bureau, a unique comparison project among economy-wide macroeconometric models.
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 Testing Macroeconometric Models by : Ray C. Fair
Download or read book Testing Macroeconometric Models written by Ray C. Fair and published by Harvard University Press. This book was released on 1994 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book Ray Fair expounds powerful techniques for estimating and analyzing macroeconometric models. He takes advantage of the remarkable decrease in computational costs that has occurred since the early 1980s by implementing such sophisticated techniques as stochastic simulation. Testing Macroeconometric Models also incorporates the assumption of rational expectations in the estimation, solution, and testing of the models. And it presents the latest versions of Fair's models of the economies of the United States and other countries. After estimating and testing the U.S. model, Fair analyzes its properties, including those relevant to economic policymakers: the optimal monetary policy instrument, the effect of a government spending reduction on the government deficit, whether monetary policy is becoming less effective over time, and the sensitivity of policy effects to the assumption of rational expectations. Ray Fair has conducted research on structural macroeconometric models for more than twenty years. With interest increasing in the area, this book will be an essential reference for macroeconomists.
Book Synopsis Handbook of Macroeconomics by : John B. Taylor
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 2016-11-12 with total page 3009 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Macroeconomics Volumes 2A and 2B surveys major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues, including fiscal, monetary, and regulatory policies to deal with crises, unemployment, and economic growth. As this volume shows, macroeconomics has undergone a profound change since the publication of the last volume, due in no small part to the questions thrust into the spotlight by the worldwide financial crisis of 2008. With contributions from the world's leading macroeconomists, its reevaluation of macroeconomic scholarship and assessment of its future constitute an investment worth making. - Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research - Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade - Builds upon Volume 1 by using its section headings to illustrate just how far macroeconomic thought has evolved
