Rational Expectations Econometrics

1. Auflage 2019
ISBN: 978-0-367-28501-2
Verlag: Taylor & Francis Ltd

Buch, Englisch, 294 Seiten, Format (B × H): 152 mm x 241 mm, Gewicht: 721 g

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.

Autoren/Hrsg.

Hansen, Lars Peter

Sargent, Thomas

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Allgemein

Inhaltsverzeichnis

Exact linear rational expectations models; identification of continuous time rational expectations models from discrete time data; two difficulties with interpreting vector auto-regressions.

Über Autor(innen)

Lars Peter Hansen, University of Chicago. Thomas J. Sargent is Donald Lucas Professor of Economics at Stanford University and Senior Fellow at the Hoover Institution. A pioneer of the rational expectations school of macroeconomics, he is the author of "The Conquest of American Inflation" (Princeton), "Bounded Rationality in Macroeconomics", and "Dynamic Macroeconomic Theory".