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2 edition of note on non-uniqueness in rational expectations models found in the catalog.

note on non-uniqueness in rational expectations models

note on non-uniqueness in rational expectations models

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Published by University ofEssex, Dept. of Economics in [Colchester] .
Written in English


Edition Notes

Statementby William M. Scarth.
SeriesDiscussion paper series / University of Essex, Department of Economics -- no.251
ID Numbers
Open LibraryOL14866616M

This note describes an algorithm for the solution of rational expectations models with saddlepoint stability properties. The algorithm is based on the method of multiple shooting, which is widely used to solve mathematically similar problems in the physical sciences. The no-arbitrage requirement is also known as the “Dutch book argument” in the theory of gambling: the odds posted by a rational bookmaker should not present the opportunity for a sure win (“Dutch book”) to a clever bettor. f. Rational learning: In models where events unfold gradually over time, it is necessary to describe how agents.

Additional strengths and limitations attend to that subset of formal models that focus on rational choice theories. There is a tendency in the literature to conflate formal and rational choice models, but it is possible to formal models based on cognitive processes other than rational ones, such as . The Econometric Analysis of Non-uniqueness in Rational Expectations Models, L. Broze, A. Szafarz Pioneers of Change - Experiments in Creating a Humane Society, Jeremy Seabrook Atmospheric Oxidation and Antioxidants, Vol 3, Gerald Scott.

Thereafter the author maintains the rational expectations assumption and the rest of the book is an account of why this assumption does not imply some of the consequences often attributed to it. In the first chapter, for instance, we are presented with a simple overlapping generations model in which money is .   Figure 3 presents data for the UK, US, Germany, and Japan on the growth in capital services per hour worked over the period since There is a common, dramatic fall in the rate of capital deepening across countries in the –15 period. This applies to Germany and Japan, which did not experience domestic leverage-based financial crises in their economies in –9, as well as to Cited by: 4.


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Note on non-uniqueness in rational expectations models by Download PDF EPUB FB2

Note: Citations are based on reference standards. However, formatting rules can vary widely between applications and fields of interest or study. The specific requirements or preferences of your reviewing publisher, classroom teacher, institution or organization should be applied.

- A rational expectations model is a (scalar or vector) equation expressing the evolution of an endogenous stochastic process - (pt) in Equation () - as depending on some The non-uniqueness problem 25 (deterministic and/or stochastic) exogenous variables, lagged endogenous terms and conditional expectations.

Downloadable. Many macroeconomic models involving rational expect at ions give rise to an infinity of solution paths, even when the models are linear in all variables. Some writers have suggested that this non-uniqueness constitutes a serious weakness for the rational expectations hypothesis.

One purpose of the present paper is to argue that the non-uniqueness in question is not properly. (ebook) Econometric Analysis of Non-Uniqueness in Rational Expectations Models () from Dymocks online store. This book is devoted to the econometric analysis of linear. Downloadable (with restrictions).

Many macroeconomic models involving rational expect at ions give rise to an infinity of solution paths, even when the models are linear in all variables. Some writers note on non-uniqueness in rational expectations models book suggested that this non-uniqueness constitutes a serious weakness for the rational expectations hypothesis.

One purpose of the present paper is to argue that the non-uniqueness in question. McCallum, Bennett T. (): "On Non-Uniqueness in Rational Expectations Models: An Attempt at Perspective." Journal of Monetary Economics, 4.

The Lucas Critique One of the earliest salvos of the rational expectations revolution in macroeconomics was theFile Size: 78KB. A note on Kalman filter approach to solution of rational expectations models Article in Economics Bulletin 30(3) January with 34 Reads How we measure 'reads'.

The note shows that model misspecifications prevent the satisfaction of a necessary and sufficient condition for individual expectations to be rational in Muth's sense.

Author of Macroeconomics, Macroeconomics, Economics, Deficit reduction: what pain, what gain. edited by William B.P. Robson and William M. Scarth, Tax-based incomes policies, Fiscal policy and the government budget constraint under alternative exchange-rate systems, The elasticity of substitution and the shape of transformation curve, Bond-financed fiscal policy and the problem of.

of uncertainty, the problem of information heterogeneity, learning and information acquisition, and the non-uniqueness of solutions to rational expectations models with future expectations.

He surveys the vast amount of econometric literature in this area with an exceptional treatment of the areas of identification, estimation and hypothesis.

AbstractRational expectations (RE) frameworks featuring informational constraints are becoming increasingly popular in macroeconomic research. A recent strand of literature has explored the analytics of RE models with informational subperiods, in which the occurrence of exogenous shocks is period-specific and decision makers condition their own choices and expectations upon a sequence of Author: Marco Maria Sorge.

A small list of other examples includes the notions of near rationality, noise trading, and limitations on computational ability.1 The models of learning surveyed in Tom Sargent's new book Bounded Ra- tionality in Macroeconomics relax the hypothesis of rational by: 3.

Dynamic Equations with Rational Expectations 63 shall give an example where one can see the non-uniqueness of an initial value problem in discrete time. We shall close this paper with a short conclusion section. THE GENERAL SOLUTION Let y t be a random variable such that its ' - derivative exists with respect to t.

We define A t:= E t [y t. A note on non-uniqueness in rational expectations models pp. William M. Scarth Individual forecasting and a ggregate outcomes: A review essay pp. Thomas Cooley. Vol issue 1, To the readers of the journal of monetary economics pp.

Karl Brunner. in the analysis of rational expectations. Other issues not covered in the book include the problem of information heterogeneity across agents, the non-uniqueness of the solution of rational expectations models in certain classes of models, and the problem of evaluation and comparison of rational and non-rational expectations models.

McCallum, Bennett T, “On Non-Uniqueness in Rational Expectations Models: An Attempt at Perspective”, Journal of Monetary Economics, Marchpp. Begg, David, The Rational Expectations Revolution in Macroeconomics, London, Philip.

5 • McCallum, Bennett T, “On Non-Uniqueness in Rational Expectations Models: An Attempt at Perspective”, Journal of Monetary Economics, Marchpp. • Uhlig, Harald, “A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily”. Email your librarian or administrator to recommend adding this book to your organisation's collection.

The Cambridge Handbook of Psychology and Economic Behaviour. Edited by Alan Lewis; Online ISBN: Bray, M. M., “ Learning, estimation and the stability of rational expectations,” Journal of Economic Theory,   AbstractWe study in a New Keynesian framework the consequences of adaptive learning for the design of robust monetary policy.

Compared to rational expectations, the fact that private sector follows adaptive learning gives the central bank an additional intertemporal trade-off between optimal behavior in the present and in later periods thanks to its ability to manipulate future inflation Author: Marine Charlotte André, Meixing Dai.

On the Empirical Separability of News Shocks and Sunspots* In this note we discuss the possibility of empirically evaluating the relative importance of different drivers of forecast errors in linear rational expectations frameworks, using the predictions generated by the theory.

By means of a few simple examples, we show that, when. While writing up my post on the Keynes-Hayek debate at LSE, I visited a couple of blogs to gauge the reaction in the blogosphere to the debate. One of those was the very interesting Social Democracy for the 21 st Century: A Post-Keynesian Perspective.

In his post on the debate, the blogger, AKA Lord Keynes, had some interesting observations about the famous (well, maybe among .Ch. 2. Jump-Diffusion Models for Asset Pricing in Financial Engineering 75 structure models, and Chen and Kou () for applications in credit risk and credit derivatives.

2 Empirical stylized facts Are returns normally distributed Consider the daily closing prices of File Size: KB.McCallum, B.T. On non-uniqueness in rational expectations models: an attempt at perspective.

Journal of Monetary Economics 11 Linear Rational Expectations Models. Minneapolis: University of Minnesota Press. Google Scholar Nitzan, S. and Rosen, U. A note on reinsurance and the technology of risk. Journal of Risk and Insurance.