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Limited-Dependaent Rational Expectations Models with Future Expectations

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Author Info

  • Pesaran, M.H.
  • Samiei, H.

Abstract

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Bibliographic Info

Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 9321.

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Length: 28 pages
Date of creation: 1993
Date of revision:
Handle: RePEc:cam:camdae:9321

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Web page: http://www.econ.cam.ac.uk/index.htm

Related research

Keywords: economic theory;

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Deaton, A., 1989. "Saving And Liquidity Constraints," Papers 153, Princeton, Woodrow Wilson School - Public and International Affairs.
  2. Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Public and International Affairs.
  3. Pesaran, M. Hashem & Samiei, Hossein, 1992. "Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 141-163.
  4. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August.
  5. Hashem Pesaran, M. & Ruge-Murcia, Francisco J., 1996. "Limited-dependent rational expectations models with stochastic thresholds," Economics Letters, Elsevier, vol. 51(3), pages 267-276, June.
  6. Miller, M. & Weller, P., 1988. "Exchange Rate Bands And Realignments In A Stationary Stochastic Setting," The Warwick Economics Research Paper Series (TWERPS) 317, University of Warwick, Department of Economics.
  7. Holt, Matthew & Johnson, Stanley R., 1989. "Bounded Price Variation and Rational Expectations in an Endogenous Switching Model of the U.S. Corn Market," Staff General Research Papers 267, Iowa State University, Department of Economics.
  8. Pesaran, M.H. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cahiers de recherche 9530, Universite de Montreal, Departement de sciences economiques.
  9. Ray C. Fair & John B. Taylor, 1989. "Full Information Estimation and Stochastic Simulation of Models with Rational Expectations," Cowles Foundation Discussion Papers 921, Cowles Foundation for Research in Economics, Yale University.
  10. Lee, L.F., 1993. "Rational Expectations in Limited Dependent Variable Models," Papers 93-20, Michigan - Center for Research on Economic & Social Theory.
  11. Pesaran, M Hashem & Samiei, Hossein, 1992. "An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model," Economic Journal, Royal Economic Society, vol. 102(411), pages 388-401, March.
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Citations

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Cited by:
  1. Ruge-Murcia, F.J., 1998. "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche 9803, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Ruge-Murcia, Francisco J., 2006. "The expectations hypothesis of the term structure when interest rates are close to zero," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1409-1424, October.
  3. Lee, Lung-fei, 1999. "Estimation of dynamic and ARCH Tobit models," Journal of Econometrics, Elsevier, vol. 92(2), pages 355-390, October.
  4. Nerlove, Marc & Schuermann, Til, 1997. "Businessmen's Expectations Are Neither Rational nor Adaptive," ZEW Discussion Papers 97-01, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  5. Campos, M. Isabel & Herrera, Julio & Jimenez-Ridruejo, Zenon, 1999. "Censured Exchange Rates in a Discrete Time Target Zones Model: The Spanish Peseta/Deutsche Mark Case," ERSA conference papers ersa99pa183, European Regional Science Association.
  6. M. Hashem Pesaran & Francisco J. Ruge-Murcia, 1996. "Limited-dependent rational expectations models with jumps," Discussion Paper / Institute for Empirical Macroeconomics 111, Federal Reserve Bank of Minneapolis.
  7. Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Estimating variances and covariances in a censored regression model," MPRA Paper 22598, University Library of Munich, Germany, revised 1993.
  8. Gabriele Fiorentini & Giorgio Calzolari, 1997. "A tobit model with garch errors," Working Papers. Serie AD 1997-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  9. M. Isabel Campos & Zenón Jiménez-Ridruejo, . "Were the Peseta Exchange Rate Crises Forecastable During Target Zone Period?," Working Papers on International Economics and Finance 00-07, FEDEA.
  10. RUGE-MURCIA, Francisco J., 2002. "Some Implications of the Zero Lower Bound on Interest Rates for the Term Structure and Monetary Policy," Cahiers de recherche 2002-06, Universite de Montreal, Departement de sciences economiques.
  11. M. Isabel Campos & Zenon Jimenez-Ridruejo, 2003. "Were the peseta exchange rate crises forecastable during target zone period?," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1087-1099.
  12. Pesaran, M. Hashem & Smith, Ron, 1995. "The role of theory in econometrics," Journal of Econometrics, Elsevier, vol. 67(1), pages 61-79, May.

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