Alternative Tests of the Rational Expectations Hypothesis in Economic Dynamical Models PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Alternative Tests of the Rational Expectations Hypothesis in Economic Dynamical Models PDF full book. Access full book title Alternative Tests of the Rational Expectations Hypothesis in Economic Dynamical Models by Roger Guesnerie. Download full books in PDF and EPUB format.
Author: Roger Guesnerie
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Roger Guesnerie
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Robert J. Shiller
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 38
Get Book Here
Book Description
A linearized version of the rational expectations models of the term structure is put forth in terms of a complete vector of equally spaced observations along the yield curve. A data series on intermediate maturity yields which meets the specifications of the model is presented. The model is tested against a specific and easily interpreted alternative. Earlier studies of rational expectations models, which used "volatility tests" or "likelihood ratio tests," are discussed.
Author: Ahyee Lee
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 79
Get Book Here
Book Description
Author: Frederic S. Mishkin
Publisher: University of Chicago Press
ISBN: 0226531929
Category : Business & Economics
Languages : en
Pages : 184
Get Book Here
Book Description
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: Satheesh V. Aradhyula
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
Get Book Here
Book Description
Author: Wanpyo Son
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 268
Get Book Here
Book Description
Author: Steven M. Sheffrin
Publisher: Cambridge University Press
ISBN: 9780521479394
Category : Business & Economics
Languages : en
Pages : 204
Get Book Here
Book Description
This book develops the idea of rational expectations and surveys its use in economics today.
Author: Robert E. Lucas
Publisher: U of Minnesota Press
ISBN: 1452908281
Category :
Languages : en
Pages : 335
Get Book Here
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.
Author: John B. Taylor
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 66
Get Book Here
Book Description
This paper is a review of rational expectations models used in macroeconomic research. The purpose is to examine in some detail the differences between the models, the advantages and disadvantages of alternative models the empirical support for the models and their policy implications. The main theme is that there os a wide diversity among rational expectations models in macroeconomics, despite their common expectational assumptions and methods of analysis. Information-based and contast-based theories are reviewed as alternative models of aggregate supply. A brief review od rational expectations models of the demand side is also provided, along with a discusion of some problems with the rational expextations assumption.
Author: Xavier d' Haultfoeuille
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 62
Get Book Here
Book Description
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.
