Broze / Szafarz The Econometric Analysis of Non-Uniqueness in Rational Expectations Models

1. Auflage 2014
ISBN: 978-1-4832-9628-9
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band Volume 201, 245 Seiten, Web PDF

Reihe: Contributions to Economic Analysis

This book is devoted to the econometric analysis of linear multivariate rational expectation models. It shows that the interpretation of multiplicity in terms of 'new degrees of freedom' is consistent with a rigorous econometric reasoning. Non-uniqueness is the central theme of this book. Each chapter is concerned with a specific econometric aspect of rational expectations equilibria. The most constructive result lies in the possibility of an empirical determination of the equilibrium followed by the economy.

Autoren/Hrsg.

Broze, L.

Szafarz, A.

Inhaltsverzeichnis

1;Front Cover;1
2;The Econometric Analysis of Nonuniqueness in Rational Expectations Models;4
3;Copyright Page;5
4;Table of Contents;8
5;INTRODUCTION TO THE SERIES;6
6;INTRODUCTION;12
7;Chapter 1. A Probabilistic Introduction to Rational Expectations;16
7.1;1.1. Introduction;16
7.2;1.2. The probabilistic framework;17
7.3;1.3. Information;20
7.4;1.4. Martingales and martingale differences;23
7.5;1.5. Linear processes;26
7.6;1.6. Rational prediction errors;30
7.7;1.7. Afinal remark;32
7.8;References;34
8;Chapter 2. The Non-Uniqueness Problem;36
8.1;2.1. The Muth model and its generalizations;36
8.2;2.2. The Cagan hyperinflation model;43
8.3;2.3. Uniqueness.parametric non-uniqueness and non-parametric non-uniqueness;55
8.4;2.4. Conclusion;65
8.5;References;67
9;Chapter 3. Reduction of Single-Equation Models;70
9.1;3.1. The geneml univariate model;70
9.2;3.2. Prediction errors and revision processes;72
9.3;3.3. The reduced fonn;75
9.4;3.4. The non-uniqueness problem: a general overview;83
9.5;3.5. Linear solutions;84
9.6;3.6. lliustrations;89
9.7;3.7. Rational expectations versus perfect foresight;96
9.8;3.8. A concluding remark;99
9.9;References;100
10;Chapter 4. Reduction of Multiple Equations Models;102
10.1;4.1. Models without expectations of future variables;102
10.2;4.2. The Cagan multivariate model;104
10.3;4.3. A model with current and future expectations;113
10.4;4.4. The general model;130
10.5;4.5. Particular solutions;143
10.6;References;153
11;Chapter 5. Identification of Rational Expectations Models;154
11.1;5.1. The identification problem;154
11.2;5.2. Dynamic models without expectations of future variables;172
11.3;5.3. Dynamic models with future expectations;199
11.4;5.4. Conclusion;211
11.5;References;213
12;Chapter 6. Estimation of Rational Expectations Models;214
12.1;6. 1. The Lucas critique;214
12.2;6.2. A simple model;217
12.3;6.3. Dynamic models without expectations of future variables;230
12.4;6.4. Dynamic models with future expectations;237
12.5;References;245
13;Index of Subjects;246
14;Index of Authors;248