Estimating and testing rational expectations models when the trend specification is uncertain.
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Cites work
- A critique of the application of unit root tests
- Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
- Effects of the Hodrick-Prescott filter on trend and difference stationary time series
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- Large Sample Properties of Generalized Method of Moments Estimators
- Production, growth and business cycles: Technical appendix
- Seasonally and approximation errors in rational expectations models
- Spurious Periodicity in Inappropriately Detrended Time Series
- Trends and Random Walks in Macroeconomic Time Series: A Re-Examination
Cited in
(7)- Penalized indirect inference
- What cycles? Data detrending in DSGE models
- Estimation and Testing of Forecast Rationality under Flexible Loss
- Irrationality or Efficiency of Macroeconomic Survey Forecasts? Implications from the Anchoring Bias Test*
- Forecasting trends with asset prices
- Estimating DSGE models using seasonally adjusted and unadjusted data
- scientific article; zbMATH DE number 2238177 (Why is no real title available?)
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