Identification of rational expectations models

DOI10.1016/0304-4076(81)90036-1zbMATH Open0488.62100OpenAlexW2103198332MaRDI QIDQ1166232FDOQ1166232

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

• Identification in Parametric Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Identifiability Criteria in Nonlinear Systems
• Econometric Implications of the Rational Expectations Hypothesis
• Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations
• Rational Expectations and the Estimation of Econometric Models
• Rational Expectations and the Estimation of Econometric Models: An Alternative Procedure
• Testing the restrictions implied by the rational expectations hypothesis
• Testing of the Rational Expectations Hypothesis
• Empirical Evidence on the Formation of Price Expectations

Cited In (17)

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

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