A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models (Google eBook)
A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.
What people are saying - Write a review
We haven't found any reviews in the usual places.
Appendix 21 Identification and Testing
Appendix 22 An Annotated Computer Program
An Integrated View of Tests of Rationality Market Efficiency and the ShortRun Neutrality of Aggregate Demand Policy
Are Market Forecasts Rational?
Monetary Policy and Interest Rates An Efficient MarketsRational Expectations Approach
Appendix 51 Estimates of the Forecasting Equations
Does Anticipated Aggregate Demand Policy Matter?
Appendix 61 Out and Unemployment Models with Barro and Rush Specifications
Appendix 62 Results with Nominal GNP Growth and Inflation as as the Aggregate Demand Variable
Appendix 63 Results Not Using Polynominal Distributed Lags
Appendix 64 Jointly Estimated Forecasting Equations
Additional Experiments Using the TwoStep Procedure
aggregate demand policy aggregate demand variable Appendix asymptotic Barro and Rush bill rate bond market chapter coefficients decline in interest Dependent Variable discussed econometric efficient-markets model empirical results error term Explanatory Variables F statistics forecasting equation Forecasting Models four lagged values heteroscedasticity hypothesis of rationality implies joint hypothesis lag length Likelihood ratio statistic likelihood ratio tests log(GNP maintained hypothesis Marginal significance level market efficiency market equilibrium methodology Mishkin Ml growth model of market money stock MRE hypothesis MRE model nominal GNP growth Nonlinear Estimates null hypothesis output and unemployment output equation percent level policy ineffectiveness proposition quarterly rate rational expectations rationality of expectations regression rejections risk premium sample period seasonally adjusted serial correlation short rates short-rate models specification standard errors sum of squared test statistics tests of rationality tion Twenty Lags two-step procedure unadjusted data unanticipated money growth unconstrained system uncorrelated unemployment models