Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration

DOI10.1016/J.JEDC.2005.03.002zbMath1200.62139OpenAlexW2095512189MaRDI QIDQ956511

Luca Fanelli

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.03.002

zbMATH Keywords

Euler equationsrational expectationsMLQAC model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Point estimation (62F10) Applications of mathematical programming (90C90)

Related Items (1)

PRESENT VALUE RELATIONS, GRANGER NONCAUSALITY, AND VAR STABILITY

Cites Work

• Unnamed Item
• Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence
• Rational error correction
• Testing exact rational expectations in cointegrated vector autoregressive models
• Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• Vector rational error correction
• The Estimation of Partial Adjustment Models with Rational Expectations
• Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
• Dynamic Econometrics
• LONG-RUN STRUCTURAL MODELLING
• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration