IDEAS home Printed from https://ideas.repec.org/a/sbe/breart/v14y1994i1a2978.html
   My bibliography  Save this article

Agents, Econometricians and the Identification of Rational Expectations Systems

Author

Listed:
  • Flôres Jr., Renato G.
  • Szafarz, Ariane

Abstract

This paper generalises previous results on the identification of rational expectations (r.e.) models, establishing necessary and sufficient conditions on the structural form of static and dynamic models, without specific assumptions on the stochastic processes generating the endogenous and exogenous variables. The approach allows the econometrician to explore the information in predetermined variables not previsible by the agents. Ways of making operational this knowledge are discussed. As a consequence, the set of identification strategies is broadened and a better insight is gained on the cost/benefit of an early selection on the solutions set.

Suggested Citation

  • Flôres Jr., Renato G. & Szafarz, Ariane, 1994. "Agents, Econometricians and the Identification of Rational Expectations Systems," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 14(1), April.
    • Handle: RePEc:sbe:breart:v:14:y:1994:i:1:a:2978
    as

    Download full text from publisher

    File URL: https://periodicos.fgv.br/bre/article/view/2978
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Sargent, Thomas J, 1976. "A Classical Macroeconometric Model for the United States," Journal of Political Economy, University of Chicago Press, vol. 84(2), pages 207-237, April.
    3. West, Kenneth D, 1988. "Dividend Innovations and Stock Price Volatility," Econometrica, Econometric Society, vol. 56(1), pages 37-61, January.
    4. Rayner, Janne, 1991. "Another look at the identification of current rational-expectations models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 305-331, February.
    5. Pudney, S. E., 1982. "The identification of rational expectations models under structural neutrality," Journal of Economic Dynamics and Control, Elsevier, vol. 4(1), pages 117-121, November.
    6. Junior, Renato Galvão Flôres & Szafarz, Ariane, 1992. "Minimal identification of dynamic rational expectations systems," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 46(3), July.
    7. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    8. Griliches, Zvi, 1974. "Errors in Variables and Other Unobservables," Econometrica, Econometric Society, vol. 42(6), pages 971-998, November.
    9. Wegge, Leon L. & Feldman, Mark, 1983. "Identifiability criteria for Muth-rational expectations models," Journal of Econometrics, Elsevier, vol. 21(2), pages 245-254, February.
    10. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
    11. Broze, Laurence & Gourieroux Christian & Szafarz A, 1986. "Identification & consistent estimation of multi-variate linear models with rational expectations of current variables," CEPREMAP Working Papers (Couverture Orange) 8617, CEPREMAP.
    12. Rothenberg, Thomas J, 1971. "Identification in Parametric Models," Econometrica, Econometric Society, vol. 39(3), pages 577-591, May.
    13. Salemi, Michael K., 1986. "Solution and estimation of linear rational expectations models," Journal of Econometrics, Elsevier, vol. 31(1), pages 41-66, February.
    14. Goldberger, Arthur S, 1972. "Structural Equation Methods in the Social Sciences," Econometrica, Econometric Society, vol. 40(6), pages 979-1001, November.
    15. Laurence Broze & Ariane Szafarz, 1991. "The Econometric Analysis of Non-Uniqueness in Rational Expectations Models," ULB Institutional Repository 2013/649, ULB -- Universite Libre de Bruxelles.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Burton, Diana M. & Love, H. Alan, 1996. "A Review of Alternative Expectations Regimes in Commodity Markets: Specification, Estimation, and Hypothesis Testing Using Structural Models," Agricultural and Resource Economics Review, Cambridge University Press, vol. 25(2), pages 213-231, October.
    2. Gary Koop & M. Hashem Pesaran & Ron P. Smith, 2013. "On Identification of Bayesian DSGE Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 300-314, July.
    3. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis.
    4. Duo Qin, 2010. "Modelling of the Inflation-Unemployment Tradeoff from the Perspective of the History of Econometrics," Working Papers 661, Queen Mary University of London, School of Economics and Finance.
    5. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    6. Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel, 1996. "The Lucas critique revisited assessing the stability of empirical Euler equations for investment," Journal of Econometrics, Elsevier, vol. 70(1), pages 291-316, January.
    7. McNulty, Mark S., 1985. "Information usage in the formation of price expectations: theory and econometric tests," ISU General Staff Papers 1985010108000013085, Iowa State University, Department of Economics.
    8. Palm, F.C. & Nijman, Th., 1984. "Consistent estimation using proxy-variables in models with unobserved variables," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    9. Taremi, Mohammad & Esksndari, Farzad & Bameni Moghadam, Mohammad, 2016. "Identifiability of Dynamic Stochastic General Equilibrium Models with Covariance Restrictions," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(3), pages 225-243, July.
    10. Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004. "The Power Law and Dividend Yields," ZEW Discussion Papers 04-51, ZEW - Leibniz Centre for European Economic Research.
    11. M. Hashem Pesaran & Yongcheol Shin, 2002. "Long-Run Structural Modelling," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 49-87.
    12. Bongsuk Sung & Myung-Bae Yeom & Hong-Gi Kim, 2017. "Eco-Efficiency of Government Policy and Exports in the Bioenergy Technology Market," Sustainability, MDPI, vol. 9(9), pages 1-18, September.
    13. Galindo, Luis M., 1995. "La hipótesis de expectativas en el mercado de Cetes en México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 10(1), pages 67-88.
    14. Mailand, Wilhelm, 1998. "Zum Einfluß von Unsicherheit auf die gesamtwirtschaftliche Investitionstätigkeit," HWWA Discussion Papers 57, Hamburg Institute of International Economics (HWWA).
    15. Kleibergen, Frank & Paap, Richard, 2006. "Generalized reduced rank tests using the singular value decomposition," Journal of Econometrics, Elsevier, vol. 133(1), pages 97-126, July.
    16. Hamilton, James D. & Wu, Jing Cynthia, 2012. "Identification and estimation of Gaussian affine term structure models," Journal of Econometrics, Elsevier, vol. 168(2), pages 315-331.
    17. Mizanur RAHMAN & Willem THORBECKE, 2007. "How Would China's Exports be Affected by a Unilateral Appreciation of the RMB and a Joint Appreciation of Countries Supplying Intermediate Imports?," Discussion papers 07012, Research Institute of Economy, Trade and Industry (RIETI).
    18. Sayat R. Baronyan & İ. İlkay Boduroğlu & Emrah Şener, 2010. "Investigation Of Stochastic Pairs Trading Strategies Under Different Volatility Regimes," Manchester School, University of Manchester, vol. 78(s1), pages 114-134, September.
    19. Moreira, Ricardo Ramalhete, 2016. "Measuring the Monetary Policy’s Structural Credibility by the Expected Inflation Determinants: a Kalman Filter Approach for Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(2), November.
    20. Broze, Laurence & Gourieroux Christian & Szafarz A, 1986. "Reduction and identification of simultaneous equations models with rational expectations," CEPREMAP Working Papers (Couverture Orange) 8601, CEPREMAP.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sbe:breart:v:14:y:1994:i:1:a:2978. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Núcleo de Computação da FGV EPGE (email available below). General contact details of provider: https://edirc.repec.org/data/sbeeeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.