Estimating and testing rational expectations models when the trend specification is uncertain.

DOI10.1016/S0165-1889(99)00083-4zbMath1056.91545MaRDI QIDQ5958097

Timothy Cogley

Publication date: 3 March 2002

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

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (3)

What cycles? Data detrending in DSGE models ⋮ Penalized indirect inference ⋮ Estimating DSGE models using seasonally adjusted and unadjusted data

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• A critique of the application of unit root tests
• Seasonally and approximation errors in rational expectations models
• Effects of the Hodrick-Prescott filter on trend and difference stationary time series
• Production, growth and business cycles: Technical appendix
• Spurious Periodicity in Inappropriately Detrended Time Series
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Trends and Random Walks in Macroeconomic Time Series: A Re-Examination
• Dynamic Equilibrium Economies: A Framework for Comparing Models and Data

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