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Formulating and estimating dynamic linear rational expectations models
Open accessAbstract
This paper describes methods for conveniently formulating and estimating dynamic linear econometric models under the hypothesis of rational expectations. An econometrically convenient formula for the cross-equation rational expectations restrictions is derived. Models of error terms and the role of the concept of Granger causality in formulating rational expectations models are both discussed. Tests of the hypothesis of strict econometric exogeneity along the lines of Sims's are compared with a test that is related to Wu's.
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Citations
Cites
Investigating causal relations by econometric models and cross-spectral methods
Granger, C. W. J. (1969) · Econometrica · doi:10.2307/1912791 · Cited by 22,989
Cited by
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Self-citationSolution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
Fair, R. C., & Taylor, J. B. (1983) · Econometrica · doi:10.2307/1912057 · Cited by 420
The Permanent Income Hypothesis: Estimation and Testing by Instrumental Variables
Hayashi, F. (1982) · Journal of Political Economy · doi:10.1086/261100 · Cited by 375
On the Identification of Gross Output Production Functions
Gandhi, A., Navarro, S., & Rivers, D. A. (2020) · Journal of Political Economy · doi:10.1086/707736 · Cited by 367
Abbring, J. H., & Heckman, J. J. (2007) · Handbook of Econometrics · doi:10.1016/s1573-4412(07)06072-2 · Cited by 122
Metadata
- Authors
- Hansen, L.
- Venue
- Journal of Economic Dynamics and Control
- Publisher
- Elsevier BV
- Published
- 1980-02
- Volume
- 2
- Issue
- 1
- Pages
- 7-46
- ISSN
- 0165-1889 (ISSN-L)
- OpenAlex
- W2026103080
- Cited by
- 875
- References
- 1
- FWCI
- 69.35
- Type
- journal article
- Language
- en
- Open access
- gold
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- Hansen, L. (1980). Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and Control. https://doi.org/10.1016/0165-1889(80)90012-3
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
