This is a critical assessment of the rational expectations hypothesis from theoretical as well as empirical perspectives. It argues that the rational expectations and adaptive expectations hypotheses represent two different extremes, both of which are based on untenable assumptions and are empirically unsatisfactory. The author argues that a greater reliance on survey data on expectations, and the formulation of models that explicitly take account of the learning process are necessary, and proposes a new method for quantification of categorical survey data. The book covers a range of topics and brings together the diverse econometric contributions recently made in the areas of identification, estimation and hypothesis testing in a wide variety of rational expectations models.
Sprache
Verlagsort
Verlagsgruppe
Zielgruppe
Für höhere Schule und Studium
Für Beruf und Forschung
Illustrationen
Maße
Höhe: 230 mm
Breite: 150 mm
ISBN-13
978-0-631-14036-8 (9780631140368)
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Schweitzer Klassifikation
Methodological issues; uncertainty and the process of expectations formation; the process of learning and the rational expectations hypothesis; heterogeneous information and the rational expectations hypothesis; econometric considerations; solution of linear rational expectations models; identification of linear rational expectations models; single equation models; simultaneous equation models; estimation and hypothesis testing in rational expectations models; models with current and lagged expectations; models with future expectations; use of direct observations on expectations ; measurement of expectations and direct tests of the R.E.H.; models of expectations formation under bounded rationality. Appendices: Conditional expectations and martingales - general properties ; solution of linear rational expectations models under heterogeneous information ; solution of rational expectations models with future expectations by the martingale method ; derivation of present value of prospective yields under the rational expectations hypothesis.
