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The Estimation of Rational Expectations Models A Survey

The Estimation of Rational Expectations Models A Survey The different types of estimators of rational expectations modelsare surveyed. A key feature is that the models solution has to be takeninto account when it is estimated. The two ways of doing this, thesubstitution and errorsinvariables methods, give rise to differentestimators. In the former case, a generalised leastsquares ormaximumlikelihood type estimator generally gives consistent andefficient estimates. In the latter case, a generalised instrumentalvariable GIV type estimator is needed. Because the substitution methodinvolves more complicated restrictions and because it resolves thesolution indeterminacy in a more arbitary fashion, when there areforwardlooking expectations, the errorsinvariables solution with theGIV estimator is the recommended combination. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Economic Studies Emerald Publishing

The Estimation of Rational Expectations Models A Survey

Journal of Economic Studies , Volume 18 (3) – Mar 1, 1991

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
0144-3585
DOI
10.1108/EUM0000000000152
Publisher site
See Article on Publisher Site

Abstract

The different types of estimators of rational expectations modelsare surveyed. A key feature is that the models solution has to be takeninto account when it is estimated. The two ways of doing this, thesubstitution and errorsinvariables methods, give rise to differentestimators. In the former case, a generalised leastsquares ormaximumlikelihood type estimator generally gives consistent andefficient estimates. In the latter case, a generalised instrumentalvariable GIV type estimator is needed. Because the substitution methodinvolves more complicated restrictions and because it resolves thesolution indeterminacy in a more arbitary fashion, when there areforwardlooking expectations, the errorsinvariables solution with theGIV estimator is the recommended combination.

Journal

Journal of Economic StudiesEmerald Publishing

Published: Mar 1, 1991

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