The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Rational Expectations Models, Estimation of

  • Monika Piazzesi
Reference work entry


Rational expectations impose cross-equation restrictions that have important implications for the estimation of models. These implications have lead to the development of new estimation and testing techniques. More recently, this development has generated techniques that handle models that cannot be solved analytically. Together with the rapid increase in computing power, these methods offer insights in to the working of these models and thereby enable their refinement.


Bayesian methods on macroeconometrics Cross-equation restrictions Distributed lags Estimation Euler equations Generalized method of moments Maximum likelihood Rational expectations Simulation-based estimation Term structure of interest rates Testing Vector autoregressions 

JEL Classifications

D4 D10 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Monika Piazzesi
    • 1
  1. 1.