This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Pooling Forecasts in Linear Rational Expectations Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Gregor W. Smith () (Department of Economics, Queen's University)
Additional information is available for the following
registered author(s):
Estimating linear rational expectations models requires replacing the expectations of future, endogenous variables either with forecasts from a fully solved model, or with the instrumented actual values, or with forecast survey data. Extending the methods of McCallum (1976) and Gottfries and Persson (1988), I show how to pool these methods and also use actual, future values of these variables to improve statistical efficiency. The method is illustrated with an application using SPF survey data in the US Phillips curve, where the output gap plays a significant role but lagged inflation plays none.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Queen's University, Department of Economics in its series Working Papers with number
1129.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 22 pages
Date of creation: Jun 2007Date of revision:
Handle: RePEc:qed:wpaper:1129Contact details of provider: Postal: Kingston, Ontario, K7L 3N6 Phone: (613) 533-2250 Fax: (613) 533-6668 Email: Web page: http://www.econ.queensu.ca/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Mark Babcock).
Keywords: rational expectations ; recursive projection ; Phillips curve ; Other versions of this item:
Find related papers by JEL classification: E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
This paper has been announced in the following NEP Reports :
References listed on IDEAS 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.: Mavroeidis, Sophocles, 2005.
"Identification Issues in Forward-Looking Models Estimated by GMM, with an Application to the Phillips Curve ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 37(3), pages 421-48, June.
Hansen, Lars Peter, 1982.
"Large Sample Properties of Generalized Method of Moments Estimators ,"
Econometrica ,
Econometric Society, vol. 50(4), pages 1029-54, July.
[Downloadable!] (restricted)
Gali, Jordi & Gertler, Mark, 1999.
"Inflation dynamics: A structural econometric analysis ,"
Journal of Monetary Economics ,
Elsevier, vol. 44(2), pages 195-222, October.
[Downloadable!] (restricted)
Other versions: Abel, Andrew B & Mishkin, Frederic S, 1983.
"On the Econometric Testing of Rationality-Market Efficiency ,"
The Review of Economics and Statistics ,
MIT Press, vol. 65(2), pages 318-23, May.
[Downloadable!] (restricted)
Carl S Bonham & Richard H Cohen, 2000.
"Testing the Rational Expectations Hypothesis using Survey Data ,"
Working Papers
200007, University of Hawaii at Manoa, Department of Economics.
[Downloadable!]
Hamilton, James D, 1985.
"Uncovering Financial Market Expectations of Inflation ,"
Journal of Political Economy ,
University of Chicago Press, vol. 93(6), pages 1224-41, December.
[Downloadable!] (restricted)
Dean Croushore, 2006.
"An evaluation of inflation forecasts from surveys using real-time data ,"
Working Papers
06-19, Federal Reserve Bank of Philadelphia.
[Downloadable!]
Gottfries, Nils & Persson, Torsten, 1988.
"Empirical Examinations of the Information Sets of Economic Agents ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 103(1), pages 251-59, February.
[Downloadable!] (restricted)
Ross D. Milbourne & Gregor W. Smith, 1989.
"How Informative Are Preliminary Announcements of the Money Stock in Canada? ,"
Canadian Journal of Economics ,
Canadian Economics Association, vol. 22(3), pages 595-606, August.
[Downloadable!] (restricted)
Other versions: Edward Nelson, 2005.
"The Great Inflation of the Seventies: What Really Happened? ,"
The B.E. Journal of Macroeconomics ,
Berkeley Electronic Press, vol. 0(1).
[Downloadable!]
James M. Nason & Gregor W. Smith, 2005.
"Identifying the New Keynesian Phillips Curve ,"
Working Paper
2005-01, Federal Reserve Bank of Atlanta.
[Downloadable!]
Other versions:
James M. Nason & Gregor W. Smith, 2005.
"Identifying the New Keynesian Phillips Curve ,"
Working Papers
1026, Queen's University, Department of Economics.
[Downloadable!] James M. Nason & Gregor W. Smith, 2008.
"Identifying the new Keynesian Phillips curve ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
[Downloadable!] Hansen, Lars Peter & Sargent, Thomas J., 1980.
"Formulating and estimating dynamic linear rational expectations models ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 2(1), pages 7-46, May.
[Downloadable!] (restricted)
Other versions: Roberts, John M, 1995.
"New Keynesian Economics and the Phillips Curve ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 27(4), pages 975-84, November.
[Downloadable!] (restricted)
Lloyd B. Thomas Jr., 1999.
"Survey Measures of Expected U.S. Inflation ,"
Journal of Economic Perspectives ,
American Economic Association, vol. 13(4), pages 125-144, Fall.
[Downloadable!] (restricted)
Pagan, Adrian, 1984.
"Econometric Issues in the Analysis of Regressions with Generated Regressors ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
[Downloadable!] (restricted)
McCallum, Bennett T, 1976.
"Rational Expectations and the Estimation of Econometric Models: AnAlternative Procedure ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 484-90, June.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , 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.)
Gregor W. Smith & James Yetman, 2007.
"The Curse of Irving Fisher (Professional Forecasters' Version) ,"
Working Papers
1144, Queen's University, Department of Economics.
[Downloadable!]
James M. Nason & Gregor W. Smith, 2008.
"The new Keynesian Phillips curve : lessons from single-equation econometric estimation ,"
Economic Quarterly ,
Federal Reserve Bank of Richmond, issue Fall, pages 361-395.
[Downloadable!]
Access and
download statistics Did you know? Over 1000 institutions contribute their bibliographic data directly to this service.
This page was last updated on 2009-12-1.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .