Author: Michael K. Salemi
Publisher:
ISBN:
Category :
Languages : en
Pages : 23

Get Book Here

Book Description

Author: Ray C. Fair
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 41

Get Book Here

Book Description
A solution method and an estimation method for nonlinear rational expectations models are presented in this paper. The solution method can be used in forecasting and policy applications and can handle models with serial correlation and multiple viewpoint dates. When applied to linear models, the solution method yields the same results as those obtained from currently available methods that are designed specifically for linear models. It is, however, more flexible and general than these methods. For large nonlinear models the results in this paper indicate that the method works quite well. The estimation method is based on the maximum likelihood principal. It is, as far as we know, the only method available for obtaining maximum likelihood estimates for nonlinear rational expectations models. The method has the advantage of being applicable to a wide range of models, including, as a special case, linear , models. The method can also handle different assumptions about the expectations of the exogenous variables, something which is not true of currently available approaches to linear models.

Author: Jeffrey C. Fuhrer
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 54

Get Book Here

Book Description

Author: Charles H. Whiteman
Publisher: U of Minnesota Press
ISBN: 1452907935
Category : Business & Economics
Languages : en
Pages : 151

Get Book Here

Book Description

Author: L. Broze
Publisher: Routledge
ISBN: 1136457739
Category : Business & Economics
Languages : en
Pages : 134

Get Book Here

Book Description
A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.

Author: Lars Peter Hansen
Publisher: CRC Press
ISBN: 1000308960
Category : Mathematics
Languages : en
Pages : 294

Get Book Here

Book Description
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: Mark David Feldman
Publisher:
ISBN:
Category :
Languages : en
Pages : 142

Get Book Here

Book Description

Author: P. Fisher
Publisher: Springer Science & Business Media
ISBN: 9401580022
Category : Business & Economics
Languages : en
Pages : 215

Get Book Here

Book Description
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: Jeffrey C. Fuhrer
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

Get Book Here

Book Description
This paper presents new, computationally efficient algorithms for solution and estimation of nonlinear dynamic rational expectations models. The innovations in the algorithms are as follows: (1) The entire solution path is obtained simultaneously by taking a small number of Newton steps, using analytic derivatives, over the entire path; (2) The terminal conditions for the solution path are derived from the uniqueness and stability conditions from the linearization of the model around the terminus of the solution path; (3) Unit roots are allowed in the model; (4) Very general models with expectational identities and singularities of the type handled by the King-Watson (1995a,b) linear algorithms are also allowed; and (5) Rank- deficient covariance matrices that arise owing to the presence of expectational identities are admissible. Reasonably complex models are solved in less than a second on a Sun Sparc20. This speed improvement makes derivative- based estimation methods feasible. Algorithms for maximum likelihood estimation and sample estimation problems are presented.

Author: Mr.Roger Farmer
Publisher: International Monetary Fund
ISBN: 1475589212
Category : Business & Economics
Languages : en
Pages : 31

Get Book Here

Book Description
We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice.