Identification of rational expectations models

DOI10.1016/0304-4076(81)90036-1zbMath0488.62100OpenAlexW2103198332MaRDI QIDQ1166232

M. Hashem Pesaran

Publication date: 1981

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(81)90036-1

zbMATH Keywords

general distributed lag modelsidentification of simultaneous rational expectations models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic growth models (91B62)

Related Items (17)

Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence ⋮ The role of theory in econometrics ⋮ The structure of ARMA solutions to a general linear model with rational expectations ⋮ Another look at the identification of current rational-expectations models ⋮ Statistical inference in non-nested econometric models ⋮ Misspecification Testing: Non-Invariance of Expectations Models of Inflation ⋮ Identification, information and instruments in linear econometric models with rational expectations ⋮ Tests of non-nested linear regression models subject to linear restrictions ⋮ News shocks or parametric indeterminacy? an observational equivalence result in linear rational expectations models ⋮ Recursive solution methods for dynamic linear rational expectations models ⋮ Present value models with feedback ⋮ Limited-dependent rational expectations models with future expectations ⋮ A ``nearly ideal solution to linear time-varying rational expectations models ⋮ Cagan type rational expectation model on complex discrete time domains ⋮ Comment to the editor ⋮ Identifiability criteria for Muth-rational expectations models ⋮ The use of non-normal distributions in quantifying qualitative survey data on expectations.

Cites Work

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• Testing the restrictions implied by the rational expectations hypothesis
• Econometric Implications of the Rational Expectations Hypothesis
• Testing of the Rational Expectations Hypothesis
• Rational Expectations and the Estimation of Econometric Models
• Rational Expectations and the Estimation of Econometric Models: An Alternative Procedure
• Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations
• Identifiability Criteria in Nonlinear Systems
• Empirical Evidence on the Formation of Price Expectations
• Identification in Parametric Models

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