Author: Glenn W. Harrison
Publisher:
ISBN: 9780959673876
Category : Rational expectations (Economic theory)
Languages : en
Pages : 12
Book Description
On the Limited-information Estimation of Rational Expectations Models
Author: Glenn W. Harrison
Publisher:
ISBN: 9780959673876
Category : Rational expectations (Economic theory)
Languages : en
Pages : 12
Book Description
Publisher:
ISBN: 9780959673876
Category : Rational expectations (Economic theory)
Languages : en
Pages : 12
Book Description
Full Versus Limited Information Estimation of a Rational Expectations Model
Author: Kenneth David West
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 24
Book Description
This paper compares numerically the asymptotic distributions of parameter estimates and test statistics associated with two estimation techniques: (a)a limited information one, which uses instrumental variables to estimate a single equation (Hansen and Singleton (1982)), and (b)a full information one, which uses a procedure asymptotically equivalent to maximum likelihood to simultaneously estimate multiple equations (Hansen and Sargent (1980)). The paper compares the two with respect to both (1)asymptotic efficiency under the null hypothesis of no misspecification, and (2)asymptotic bias and power in the presence of certain local alternatives. It is found that: (l)Full information standard errors are only moderately smaller than limited information standard errors. (2)When the model is misspecified, full information tests tend to be more powerful, and its parameter estimates tend to be more biased. This suggests that at least in the model considered here, the gains from the use of the less robust and computationally more complex full information technique are not particularly large.
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 24
Book Description
This paper compares numerically the asymptotic distributions of parameter estimates and test statistics associated with two estimation techniques: (a)a limited information one, which uses instrumental variables to estimate a single equation (Hansen and Singleton (1982)), and (b)a full information one, which uses a procedure asymptotically equivalent to maximum likelihood to simultaneously estimate multiple equations (Hansen and Sargent (1980)). The paper compares the two with respect to both (1)asymptotic efficiency under the null hypothesis of no misspecification, and (2)asymptotic bias and power in the presence of certain local alternatives. It is found that: (l)Full information standard errors are only moderately smaller than limited information standard errors. (2)When the model is misspecified, full information tests tend to be more powerful, and its parameter estimates tend to be more biased. This suggests that at least in the model considered here, the gains from the use of the less robust and computationally more complex full information technique are not particularly large.
Full Versus Limited Information Estimation of a Rational Expectations Model
Author: Kenneth D. West
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
Author: Ray C. Fair
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 36
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 36
Book Description
Two-Step Two-Stage Least Squares Estimation in Models with Rational Expectations
Author: John Huizinga
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper introduces a limited-information two-step estimator for models with rational expectations and serially correlated disturbances. The estimator greatly extends the area of applicability of McCallum's (1976) instrumental variables approach to rational expectations models. Section I reviews McCallum's method and discusses in detail the problems surrounding its use in many empirical contexts. Section II presents the two-step two-stage least squares estimator (2S2S1S) and demonstrates its efficiency relative to that of McCallum (1979). Section III provides a comparison of several estimators for a two equation macroeconomic model with rational expectations due to Taylor (1979).
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper introduces a limited-information two-step estimator for models with rational expectations and serially correlated disturbances. The estimator greatly extends the area of applicability of McCallum's (1976) instrumental variables approach to rational expectations models. Section I reviews McCallum's method and discusses in detail the problems surrounding its use in many empirical contexts. Section II presents the two-step two-stage least squares estimator (2S2S1S) and demonstrates its efficiency relative to that of McCallum (1979). Section III provides a comparison of several estimators for a two equation macroeconomic model with rational expectations due to Taylor (1979).
Full Information Maximum Likelihood Estimation of Models Containing Forward Rational Expectations
Author: A. Snell
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Rational Expectations and Econometric Practice
Author: Robert E. Lucas
Publisher: U of Minnesota Press
ISBN: 1452908281
Category :
Languages : en
Pages : 335
Book Description
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.
Publisher: U of Minnesota Press
ISBN: 1452908281
Category :
Languages : en
Pages : 335
Book Description
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.
Estimating Limited-dependent Rational Expectations Models
Author: M. Hashem Pesaran
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 42
Book Description
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 42
Book Description
Robustness
Author: Lars Peter Hansen
Publisher: Princeton University Press
ISBN: 0691170975
Category : Business & Economics
Languages : en
Pages : 453
Book Description
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.
Publisher: Princeton University Press
ISBN: 0691170975
Category : Business & Economics
Languages : en
Pages : 453
Book Description
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.
Estimation and Learning in Models of Rational Expectations
Author: Mark David Feldman
Publisher:
ISBN:
Category :
Languages : en
Pages : 142
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 142
Book Description