A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets ModelsA 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. |
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A Rational Expectations Approach to Macroeconometrics: Testing Policy ... Frederic S. Mishkin No preview available - 1986 |
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aggregate demand variable Appendix asymptotic B₁ Barro and Rush bill rate bond market chapter coefficients decline in interest Dependent Variable econometric efficient-markets model error term Explanatory Variables F statistics forecasting equation Forecasting Models four lagged values fourth-order heteroscedasticity hypothesis of rationality implies joint hypothesis lag length Likelihood ratio statistic likelihood ratio tests log(GNP Marginal significance level market efficiency market equilibrium Mishkin model of market money stock MRE hypothesis MRE model neutrality nominal GNP growth Nonlinear Estimates null hypothesis output and unemployment output equation percent level policy ineffectiveness proposition quarterly rate r₁ ratio statistic Marginal rational expectations rationality of expectations regression rejections risk premium sample period seasonally adjusted serial correlation short-rate models specification standard errors statistic Marginal significance sum of squared test statistics tests of rationality tion two-step procedure u₁ unadjusted data unanticipated money growth unconstrained system uncorrelated Unemployment Equations X₁ y₁ Z₁ βι
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