Rational Expectations And Econometric Practice

Author : Robert E. Lucas
Publisher : U of Minnesota Press
ISBN 13 : 1452908281
Total Pages : 335 pages
Book Rating : 4.81/5 ( download)

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Download or read book Rational Expectations and Econometric Practice written by Robert E. Lucas and published by U of Minnesota Press. This book was released on 1988 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assumptions about how people form expectations for the future shape the properties of any dynamic economic model. To make economic decisions in an uncertain environment people must forecast such variables as future rates of inflation, tax rates, governme.

Author : Thomas J. Sargent
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.49/5 ( download)

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Download or read book Rational Expectations and Econometric Practice written by Thomas J. Sargent and published by . This book was released on 1984 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Robert E. Lucas (Jr.)
Publisher :
ISBN 13 : 9780816609161
Total Pages : 689 pages
Book Rating : 4.60/5 ( download)

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Download or read book Rational Expectations and Econometric Practice written by Robert E. Lucas (Jr.) and published by . This book was released on 1981 with total page 689 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Lars Peter Hansen
Publisher : CRC Press
ISBN 13 : 1000237087
Total Pages : 294 pages
Book Rating : 4.85/5 ( download)

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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.

Author : L. Broze
Publisher : Elsevier
ISBN 13 : 1483296288
Total Pages : 249 pages
Book Rating : 4.89/5 ( download)

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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.

Author : P. Fisher
Publisher : Springer Science & Business Media
ISBN 13 : 9401580022
Total Pages : 215 pages
Book Rating : 4.21/5 ( download)

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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.

Author : Frederic S. Mishkin
Publisher : University of Chicago Press
ISBN 13 : 0226531929
Total Pages : 184 pages
Book Rating : 4.22/5 ( download)

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Download or read book A Rational Expectations Approach to Macroeconometrics written by Frederic S. Mishkin and published by University of Chicago Press. This book was released on 2007-11-01 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.

Author : Edward J. Nell
Publisher : Edward Elgar Publishing
ISBN 13 : 1849809623
Total Pages : 576 pages
Book Rating : 4.27/5 ( download)

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Download or read book Rational Econometric Man written by Edward J. Nell and published by Edward Elgar Publishing. This book was released on 2013-09-30 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: •If you are interested in understanding the underlying philosophical reasons why structural econometrics seems dead, read this book. Not only do the authors provide a comprehensive, stimulating, and provocative account of the debate and literature, the

Author : Marco P. Tucci
Publisher : Springer Science & Business Media
ISBN 13 : 1402028741
Total Pages : 268 pages
Book Rating : 4.48/5 ( download)

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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 : Preston J. Miller
Publisher : MIT Press
ISBN 13 : 9780262631556
Total Pages : 534 pages
Book Rating : 4.55/5 ( download)

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Download or read book The Rational Expectations Revolution written by Preston J. Miller and published by MIT Press. This book was released on 1994 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: These 21 readings describe the orgins and growth of the macroeconomic analysis known as "rational expectations". The readings trace the development of this approach from the late 1970s to the 1990s.