A Rational Expectations Approach to Macroeconometrics: - download pdf or read online

By Frederic S. Mishkin

ISBN-10: 0226531864

ISBN-13: 9780226531861

A Rational expectancies method of Macroeconometrics pursues a rational expectancies method of the estimation of a category of types commonly mentioned within the macroeconomics and finance literature: these which emphasize the consequences from unanticipated, instead of expected, routine in variables. during this quantity, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric remedy of those types after which indicates the best way to estimate them with an annotated machine application.

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Extra info for A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models

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In the empirical analysis in this book, when Goldfeld-Quandt (1965) tests revealed the presence of heteroscedasticity within an equation, the time-trend procedure outlined by Glesjer (1969) was used to weight each observation to eliminate this heteroscedasticity. 20 Econometric Theory and Methodology where the superscripts on the I indicate that the maximized likelihoods of both the constrained and unconstrained systems were estimated with the same weighting matrix IC and SSRC = the sum of squared residuals from the constrained weighted system, SSR U = the sum of squared residuals from the unconstrained weighted system.

Anticipations are made with information from the future as well as from the past, which clearly goes beyond the rational expectations principle. Note that the joint estimation procedure does not suffer from this prob- 26 Econometric Theory and Methodology lem. As rationality implies in this case, the 'Y which is expected to minimize the mean-squared forecasting error is used to form expectations in the y equation. y's and asymptomatically they will not differ. One last point about estimation methodology is worth discussing.

97. 98. 99. 100. 101. 102. 103. 104. 105. 106. 107. 108. 109. 110. 111. 112. 113. 114. 115. 116. 117. 118. 119. 120. 121. 122. 123. 124. 125. 126. 127. 128. 129. 130. 131. 132. 133. 134. 135. 136. 137. 138. 139. 140. 141. 142. 143. 144. 145. 146. 147. 148. 149. 150. 151. 152. 153. 154. 155. 156. 03276445 RH04 ZC C*(1-RHOI-RH02-RH03-RH04); MZC = ZC*(-MO-MI-M2-M3-M4-M5-M6-M7); EZC=ZC*(EO+El+E2+E3+E4+E5+E6+E7); ZM = MIGI - RHOl*MlG2 - RH02*MIG3 - RH03*MIG4 - RH04*MIG5; MZM = -MO*ZM - Ml*LAGl(ZM) -M2*LAG2(ZM) - M3*LAG3(ZM) -M4*LAG4(ZM) -M5*LAG5(ZM) - M6*LAG6(ZM) -M7*LAG7(ZM); ZR = RTBI - RHOl*RTB2 - RH02*RTB3 - RH03*RTB4 - RH04*RTB5; MZR = -MO*ZR - Ml*LAGl(ZR) -M2*LAG2(ZR) - M3*LAG3(ZR) -M4*LAG4(ZR) -M5*LAG5(ZR) - M6*LAG6(ZR) -M7*LAG7(ZR); ZH = SURPI - RH01*SURP2 - RH02*SURP3 - RH03*SURP4 - RH04*SURP5; MZH = -MO*ZH - M1*LAGl(ZH) -M2*LAG2(ZH) - M3*LAG3(ZH) -M4*LAG4(ZH) -M5*LAG5(ZH) - M6*LAG6(ZH) -M7*LAG7(ZH); EZM = EO*ZM + E1*LAG1(ZM) + E2*LAG2(ZM) + E3*LAG3(ZM) + E4*LAG4(ZM) + E5*LAG5(ZM) + E6*LAG6(ZM) + E7*LAG7(ZM) EZR = EO*ZR + E1*LAGl(ZR) + E2*LAG2(ZR) + E3*LAG3(ZR) + E4*LAG4(ZR) + E5*LAG5(ZR) + E6*LAG6(ZR) + E7*LAG7(ZR) EZH = EO*ZH + El*LAG1(ZH) + E2*LAG2(ZH) + E3*LAG3(ZH) + E4*LAG4(ZH) + E5*LAG5(ZH) + E6*LAG6(ZH) + E7*LAG7(ZH) EM = AO*C + Al*MlGl + A2*MIG2 + A3*MIG3 + A4*MIG4 + A5*RTBI + A6*RTB2 + A7*RTB3 + A8*RTB4 + A9*SURP1 + A10*SURP2 + Al1*SURP3 A12*SURP4 ; UM = MIG - EM; UMI LAGl(UM); UM2 LAG2(UM); UM3 LAG3 (UM) ; UM4 LAG4(UM); UM 5 LAG 5 ( UM) ; UM6 LAG6(UM); UM 7 LAG 7 ( UM) ; UM8 LAG8(UM); UM9 LAG9(UM); UMI0 = LAG10(UM); UM11 = LAGll(UM); EMI LAGl(EM); EM2 LAG2(EM); EM3 LAG3 (EM) ; Etv14 LAG4 (EM) ; EM5 LAG5(EM); Exhibit At (continued) Line No.

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A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models by Frederic S. Mishkin


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