Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration

DOI10.1016/J.JEDC.2005.03.002MaRDI QIDQ956511zbMATH OpenOpenAlexFDO

Authors Luca Fanelli

Publication date 25 November 2008

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2005.03.002

zbMATH Keywords

rational expectationsEuler equationsMLQAC model

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of mathematical programming (90C90)

Recommendations

• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
• LINEAR-QUADRATIC OPTIMIZATION FOR MODELS WITH RATIONAL EXPECTATIONS
• scientific article; zbMATH DE number 3913518
• Solving linear rational expectations models in the presence of structural change: some extensions
• Expectational Stability and the Multiple Equilibria Problem in Linear Rational Expectations Models
• A ``nearly ideal solution to linear time-varying rational expectations models
• On the solution of the linear rational expectations model with multiple lags.
• Solving generalized multivariate linear rational expectations models

Cites work

• scientific article; zbMATH DE number 811061 (Why is no real title available?)
• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
• Dynamic Econometrics
• Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• LONG-RUN STRUCTURAL MODELLING
• Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence
• Rational error correction
• Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.
• Testing exact rational expectations in cointegrated vector autoregressive models
• The Estimation of Partial Adjustment Models with Rational Expectations
• Vector rational error correction

Cited in

(7)

• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
• Present value relations, Granger noncausality, and VAR stability
• LINEAR-QUADRATIC OPTIMIZATION FOR MODELS WITH RATIONAL EXPECTATIONS
• On the interpretation of cointegration in the linear--quadratic inventory model.
• Vector rational error correction
• scientific article; zbMATH DE number 1327262 (Why is no real title available?)
• Functional equivalence between intertemporal and multisectoral investment adjustment costs

This page was built for publication: Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q956511)