Identification of rational expectations models

DOI10.1016/0304-4076(81)90036-1MaRDI QIDQ1166232zbMATH OpenOpenAlexFDO

Authors M. Hashem Pesaran

Publication date 1981

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(81)90036-1

zbMATH Keywords

general distributed lag modelsidentification of simultaneous rational expectations models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

Cites work

• scientific article; zbMATH DE number 3062534 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations
• Econometric Implications of the Rational Expectations Hypothesis
• Empirical Evidence on the Formation of Price Expectations
• Identifiability Criteria in Nonlinear Systems
• Identification in Parametric Models
• Rational Expectations and the Estimation of Econometric Models
• Rational Expectations and the Estimation of Econometric Models: An Alternative Procedure
• Testing of the Rational Expectations Hypothesis
• Testing the restrictions implied by the rational expectations hypothesis

Cited in

(17)

• Another look at the identification of current rational-expectations models
• News shocks or parametric indeterminacy? an observational equivalence result in linear rational expectations models
• Tests of non-nested linear regression models subject to linear restrictions
• The structure of ARMA solutions to a general linear model with rational expectations
• Comment to the editor
• Identifiability criteria for Muth-rational expectations models
• Present value models with feedback
• Limited-dependent rational expectations models with future expectations
• Cagan type rational expectation model on complex discrete time domains
• Misspecification testing: non-invariance of expectations models of inflation
• The role of theory in econometrics
• A ``nearly ideal solution to linear time-varying rational expectations models
• Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence
• The use of non-normal distributions in quantifying qualitative survey data on expectations.
• Identification, information and instruments in linear econometric models with rational expectations
• Statistical inference in non-nested econometric models
• Recursive solution methods for dynamic linear rational expectations models

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