The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Rational Expectations Models, Estimation of

  • Monika Piazzesi
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2594

Abstract

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.

Keywords

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 
This is a preview of subscription content, log in to check access

Bibliography

  1. Ang, A., and M. Piazzesi. 2003. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables. Journal of Monetary Economics 50: 745–787.CrossRefGoogle Scholar
  2. Gourieroux, C., and J. Jasiak. 2001. Financial econometrics. Princeton: Princeton University Press.Google Scholar
  3. Gourieroux, C., and A. Monfort. 1996. Simulation-based econometric methods. Oxford: Oxford University Press.Google Scholar
  4. Hall, R.E. 1978. Stochastic implications of the life cycle permanent income hypothesis: Theory and evidence. Journal of Political Economy 86: 971–987.CrossRefGoogle Scholar
  5. Hansen, L.P. 1982. Large sample properties of generalized method of moments estimators. Econometrica 50: 1029–1054.CrossRefGoogle Scholar
  6. Hansen, L.P., and T.J. Sargent. 1980. Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and Control 2: 7–46.CrossRefGoogle Scholar
  7. Hansen, L.P., and T.J. Sargent. 1991. Rational expectations econometrics. Boulder: Westview Press.Google Scholar
  8. Hansen, L.P., and K. Singleton. 1982. Stochastic consumption, risk aversion, and the temporal behavior of asset returns. Journal of Political Economy 91: 249–265.CrossRefGoogle Scholar
  9. Lucas, R.E., and T.J. Sargent. 1981. Rational expectations and econometric practice. Minneapolis: University of Minnesota Press.Google Scholar
  10. Sargent, T.J. 1971. A note on the accelerationist controversy. Journal of Money, Credit, and Banking 3: 721–725.CrossRefGoogle Scholar
  11. Sargent, T.J. 1979. A note on maximum likelihood estimation of the rational expectations model of the term structure. Journal of Monetary Economics 5: 133–143.CrossRefGoogle Scholar
  12. Singleton, K. 2006. Empirical dynamic asset pricing. Princeton: Princeton University Press.Google Scholar

Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Monika Piazzesi
    • 1
  1. 1.