Estimating and testing rational expectations models when the trend specification is uncertain.
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Publication:5958097
DOI10.1016/S0165-1889(99)00083-4zbMath1056.91545MaRDI QIDQ5958097
Publication date: 3 March 2002
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
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Cites Work
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- Large Sample Properties of Generalized Method of Moments Estimators
- A critique of the application of unit root tests
- Seasonally and approximation errors in rational expectations models
- Effects of the Hodrick-Prescott filter on trend and difference stationary time series
- Production, growth and business cycles: Technical appendix
- Spurious Periodicity in Inappropriately Detrended Time Series
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Trends and Random Walks in Macroeconomic Time Series: A Re-Examination
- Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
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