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A Comparison of the 'Rational Expectations' and 'General-to-Specific' Approaches to Modelling the Demand for M1

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  • Muscatelli, V A

Abstract

This 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 Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 51 (1989)
Issue (Month): 4 (November)
Pages: 353-75

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Handle: RePEc:bla:obuest:v:51:y:1989:i:4:p:353-75

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Cited by:
  1. Tinsley, P A, 2002. "Rational Error Correction," Computational Economics, Society for Computational Economics, vol. 19(2), pages 197-225, April.
  2. 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.
  3. Ingvild Svendsen, 1998. "Rational Expectations in Price Setting. Tests Based on Norwegian Export Prices," Discussion Papers 226, Research Department of Statistics Norway.
  4. 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.

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