Rational Expectations Econometrics

Lars Peter Hansen, Thomas Sargent

• Publisher: CRC Press
• Year: 2019
• Print ISBN: 9780367285012
• eBook ISBN: 9781000237085
• Topic: Mathematics
• Subtopic: Mathematics General
• Index: Mathematics

At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents' knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling. This volume consists of work by two rational expectations pioneers dealing with the "nuts and bolts" problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.

Table of contents

• Cover
• Half Title
• Series Page
• Title
• Copyright
• Contents
• 1. Introduction
• 2. Lecture Notes on Least Squares Prediction Theory
• 3. Exact Linear Rational Expectations Models: Specification and Estimation
• 4. Two Difficulties in Interpreting Vector Autoregressions
• 5. Time Series Implications of Present Value Budget Balance and of Martingale Models of Consumption and Taxes
• 6. Implications of Expected Present Value Budget Balance: Application to Postwar U.S. Data
• 7. Faster Methods for Solving Continuous Time Recursive Linear Models of Dynamic Economies
• 8. Prediction Formulas for Continuous Time Linear Rational Expectations Models
• 9. Identification of Continuous Time Rational Expectations Models from Discrete Time Data
• 10. Temporal Aggregation of Economic Time Series
• References
• List of Contributors