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Formulating and estimating dynamic linear rational expectations models

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Lars Peter Hansen
Thomas J. Sargent

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Abstract

This paper describes methods for conveniently formulating and estimating dynamic linear econometric models under the hypothesis of rational expectations. An econometrically convenient formula for the cross-equation rational expectations restrictions is derived. Models of error terms and the role of the concept of Granger causality in formulating rational expectations models are both discussed. Tests of hypothesis of strict econometric exogeneity along the lines of Sim’s are compared with a test that is related to Wu’s.

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File URL: http://www.minneapolisfed.org/research/WP/WP127.pdf
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Paper provided by Federal Reserve Bank of Minneapolis in its series Working Papers with number 127.

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Date of creation: 1979
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Publication status: Published in The legacy of Robert Lucas, Jr. (Vol. 2, 1999, pp. 330-369)
Handle: RePEc:fip:fedmwp:127

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