Dynamic adjustment cost models with forward‐looking behaviour

DOI10.1111/J.1368-423X.2006.00175.XMaRDI QIDQ5469918zbMATH OpenFDO

Authors Luca Fanelli

Publication date 26 May 2006

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2006.00175.X

zbMATH Keywords

Euler equationforward-looking behaviorGLSGRRRVEqCM

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Decision theory (91B06)

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Cites work

• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
• Dynamic Econometrics
• Granger's representation theorem: A closed‐form expression for I(1) processes
• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
• Saddlepath solutions for multivariate linear rational expectations models
• Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.
• Structural changes in the cointegrated vector autoregressive model
• Testing exact rational expectations in cointegrated vector autoregressive models
• The representative household's demand for money in a cointegrated VAR model
• Vector rational error correction

Cited in

(7)

• What do `residuals' from first-order conditions reveal about DGE models?
• Dynamic modelling of stochastic demand for manufacturing employment
• Adjustment costs and indeterminacy in perfect foresight models
• Vector rational error correction
• Present value relations, Granger noncausality, and VAR stability
• A dynamic net present value rule in a financial adjustment cost model
• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables

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