Econometric Implications of the Rational Expectations Hypothesis
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Publication:3872156
DOI10.2307/1912018zbMath0433.90021OpenAlexW2087751096MaRDI QIDQ3872156
Publication date: 1980
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1912018
identificationestimationeconomic policyrational expectations hypothesiseconometric implicationseconometric policy evaluationalgorithms for nonlinear-in-parameters systems
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
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The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment ⋮ `Time-series' versus `econometric' forecasts: a non-linear regression counterexample ⋮ Consistent estimation of equations with composite moving average disturbance terms ⋮ Identification, information and instruments in linear econometric models with rational expectations ⋮ Quasi-rational expectations, an alternative to fully rational expectations: An application to US beef cattle supply ⋮ Modelling the persistence of conditional variances ⋮ Policy measurement for the dynamic linear model with expectations variables: A multiplier approach ⋮ Parameter estimation of macroeconomic systems under rational expectations ⋮ Testing the restrictions implied by the rational expectations hypothesis ⋮ A direction of bias result for the standard errors of a sequential least squares single equation rational expectations estimator ⋮ Identification of rational expectations models ⋮ A note on the estimation of limited dependent variable models under rational expectations ⋮ Mitigation of the Lucas critique with stochastic control methods ⋮ Econometric tests of rationality and market efficiency ⋮ Market analysis with rational expectations ⋮ Structural econometric modeling and time series analysis ⋮ Identifiability criteria for Muth-rational expectations models ⋮ Two-step two-stage least squares estimation in models with rational expectations ⋮ VAR INTERPRETATIONS OF HAAVELMO’S MARKET MODEL OF CAPITAL AND INVESTMENT ⋮ CONDITIONING IN DYNAMIC MODELS
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