A Comparison of the 'Rational Expectations' and 'General-to-Specific' Approaches to Modelling the Demand for M1
AbstractThis paper compares the "forward-looking" and "general-to-specific" approaches to modeling the demand for M1 in the United Kingdom. The authors show that the "forward-looking" models lead to a restrictive dynamic structure compared to models obtained using the alternative approach. Models derived using the "general-to-specific" approach also seem to be preferable to "forward-looking" models in that they yield more plausible long-run properties. The authors also employ variance-encompassing tests to discriminate between the two approaches. Copyright 1989 by Blackwell Publishing Ltd
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.
Volume (Year): 51 (1989)
Issue (Month): 4 (November)
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- Silva Lopes, Artur, 1994.
"A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992)
[The "rational expectations hypothesis": theory and reality (a guided to," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.
- Tinsley, P A, 2002.
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- Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 117-139, January.
- Ingvild Svendsen, 1998. "Rational Expectations in Price Setting. Tests Based on Norwegian Export Prices," Discussion Papers 226, Research Department of Statistics Norway.
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