The Estimation of Forward-looking Rational Expectations Models by Two-stage Least Squares Methods PDF Download

Author: David Blake
Publisher:
ISBN:
Category :
Languages : en
Pages : 15

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Author: John Huizinga
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
This paper introduces a limited-information two-step estimator for models with rational expectations and serially correlated disturbances. The estimator greatly extends the area of applicability of McCallum's (1976) instrumental variables approach to rational expectations models. Section I reviews McCallum's method and discusses in detail the problems surrounding its use in many empirical contexts. Section II presents the two-step two-stage least squares estimator (2S2S1S) and demonstrates its efficiency relative to that of McCallum (1979). Section III provides a comparison of several estimators for a two equation macroeconomic model with rational expectations due to Taylor (1979).

Author: Jeffrey M. Wooldridge
Publisher: MIT Press
ISBN: 0262232588
Category : Business & Economics
Languages : en
Pages : 1095

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Book Description
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.

Author: Michael R. Wickens
Publisher:
ISBN:
Category :
Languages : en
Pages : 65

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Author: Mike Wickens
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 65

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This paper considers the estimation of a number of commonly used single-equation linear models, all of which have rationally expected future explanatory variables. Fully efficient and less efficient instrumental variable estimators are proposed in each case. The choice of estimation method is usually represented as a trade-off between efficiency on the one hand and robustness and computational convenience on the other. It is shown in this paper that there is a more fundamental issue which must influence the choice of estimator, namely the type of solution that the model possesses. The construction of an efficient estimation method depends on whether or not the model has a unique solution and often this will not be known a priori. Preliminary estimation by instrumental variable methods can be used to resolve this question. Various tests are proposed in the paper. Whiteman's solution method is used to determine the types of solution that are possible for each model. It is shown how these solutions can be written as both backwards and forwards solutions and the parameter restrictions which are required to obtain unique solutions.

Author: Peter Jurriëns
Publisher:
ISBN:
Category :
Languages : en
Pages : 18

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Author: Ray C. FAIR
Publisher: Harvard University Press
ISBN: 0674036638
Category : Business & Economics
Languages : en
Pages : 314

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Book Description
Macroeconomics tries to describe and explain the economywide movement of prices, output, and unemployment. The field has been sharply divided among various schools, including Keynesian, monetarist, new classical, and others. It has also been split between theorists and empiricists. Ray Fair is a resolute empiricist, developing and refining methods for testing theories and models. The field cannot advance without the discipline of testing how well the models approximate the data. Using a multicountry econometric model, he examines several important questions, including what causes inflation, how monetary authorities behave and what are their stabilization limits, how large is the wealth effect on aggregate consumption, whether European monetary policy has been too restrictive, and how large are the stabilization costs to Europe of adopting the euro. He finds, among other things, little evidence for the rational expectations hypothesis and for the so-called non-accelerating inflation rate of unemployment (NAIRU) hypothesis. He also shows that the U.S. economy in the last half of the 1990s was not a new age economy.

Author: M. Hashem Pesaran
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 42

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Author: Charles G. Renfro
Publisher: IOS Press
ISBN: 9781586034269
Category : Business & Economics
Languages : en
Pages : 420

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This publication contains a substantial amount of detail about the broad history of the development of econometric software based on the personal recollections of many people. For economists, the computer has increasingly become the primary applied research tool, and it is software that makes the computer work.

Author: Ray C. Fair
Publisher: Harvard University Press
ISBN: 9780674831803
Category : Business & Economics
Languages : en
Pages : 504

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Book Description
This book gives a practical, applications-oriented account of the latest techniques for estimating and analyzing large, nonlinear macroeconomic models. Ray Fair demonstrates the application of these techniques in a detailed presentation of several actual models, including his United States model, his multicountry model, Sargent's classical macroeconomic model, autoregressive and vector autoregressive models, and a small (twelve equation) linear structural model. He devotes a good deal of attention to the difficult and often neglected problem of moving from theoretical to econometric models. In addition, he provides an extensive discussion of optimal control techniques and methods for estimating and analyzing rational expectations models. A computer program that handles all the techniques in the book is available from the author, making it possible to use the techniques with little additional programming. The book presents the logic of this program. A smaller program for personal microcomputers for analysis of Fair's United States model is available from Urban Systems Research & Engineering, Inc. Anyone wanting to learn how to use large macroeconomic models, including researchers, graduate students, economic forecasters, and people in business and government both in the United States and abroad, will find this an essential guidebook.