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The Econometric Analysis of Non-Uniqueness in Rational Expectations Models
1st Edition - August 12, 1987
Authors: L. Broze, A. Szafarz
eBook ISBN:
9 7 8 - 1 - 4 8 3 2 - 9 6 2 8 - 9
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… Read more
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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.
A Probabilistic Introduction to Rational Expectations. Introduction. The probabilistic framework. Information. Martingales and martingale differences. Linear processes. Rational prediction errors. A final remark. The Non-Uniqueness Problem. The Muth model and its generalizations. The Cagan hyperinflation model. Uniqueness, parametric non-uniqueness and non-parametric non-uniqueness. Conclusion. Reduction of Single-Equation Models. The general univariate model. Prediction errors and revision processes. The reduced form. The non-uniqueness problem: a general overview. Linear solutions. Illustrations. Rational expectations versus perfect foresight. A concluding remark. Reduction of Multiple Equations Models. Models without expections of future variable. The Cagan multivariate model. A model with current and future expectations. The general model. Particular solutions. Identification of Rational Expectations Models. The identification problem. Dynamic models without expectations of future variables. Dynamic models with future expectations. Conclusion. Estimation of Rational Expectation Models. The Lucas critique. A simple model. Dynamic models without expectations of future variables. Dynamic models with future expectations. Index of Subjects. Index of Authors.
- Language: English
- Published: August 12, 1987
- Imprint: North Holland
- eBook ISBN: 9781483296289
LB
L. Broze
Affiliations and expertise
University of Lille III and CORE, Louvain-la-Neuve, BelgiumAS
A. Szafarz
Affiliations and expertise
CEME, University of Brussels, Belgium