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Estimating Limited-Dependent Rational Expectations Models

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  • PESARAN, M.H.
  • SAMIEI, H.

Abstract

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Suggested Citation

  • Pesaran, M.H. & Samiei, H., 1990. "Estimating Limited-Dependent Rational Expectations Models," Papers 18, California Los Angeles - Applied Econometrics.
  • Handle: RePEc:fth:callaa:18
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    References listed on IDEAS

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    1. Rush, Mark & Waldo, Douglas, 1988. "On the Policy Ineffectiveness Proposition and a Keynesian Alternative," Economic Journal, Royal Economic Society, vol. 98(391), pages 498-503, June.
    2. Mcleer, M. & Mckenzie, C.R., 1989. "When Are Two Step Estimators Efficient?," Papers 179, Australian National University - Department of Economics.
    3. M. H. Pesaran, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Oxford University Press, vol. 41(2), pages 153-171.
    4. Bernanke, Ben & Bohn, Henning & Reiss, Peter C., 1988. "Alternative non-nested specification tests of time-series investment models," Journal of Econometrics, Elsevier, vol. 37(3), pages 293-326, March.
    5. David Backus, 1984. "Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff," Canadian Journal of Economics, Canadian Economics Association, vol. 17(4), pages 824-846, November.
    6. Barro, Robert J, 1977. "Unanticipated Money Growth and Unemployment in the United States," American Economic Review, American Economic Association, pages 101-115.
    7. Pesaran, M H, 1982. "A Critique of the Proposed Tests of the Natural Rate-Rational Expectations Hypothesis," Economic Journal, Royal Economic Society, vol. 92(367), pages 529-554, September.
    8. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January.
    9. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-678, May.
    10. Godfrey, L. G. & Pesaran, M. H., 1983. "Tests of non-nested regression models: Small sample adjustments and Monte Carlo evidence," Journal of Econometrics, Elsevier, vol. 21(1), pages 133-154, January.
    11. Fisher, Gordon R. & McAleer, Michael, 1981. "Alternative procedures and associated tests of significance for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 16(1), pages 103-119, May.
    12. Pesaran, M Hashem, 1988. "On the Policy Ineffectiveness Proposition and a Keynesian Alternative: A Rejoinder," Economic Journal, Royal Economic Society, vol. 98(391), pages 504-508, June.
    13. Murphy, Kevin M & Topel, Robert H, 2002. "Estimation and Inference in Two-Step Econometric Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 88-97, January.
    14. Hatanaka, Michio, 1974. "An efficient two-step estimator for the dynamic adjustment model with autoregressive errors," Journal of Econometrics, Elsevier, vol. 2(3), pages 199-220, September.
    15. McAleer, Michael & McKenzie, C R, 1991. "Keynesian and New Classical Models of Unemployment Revisited," Economic Journal, Royal Economic Society, vol. 101(406), pages 359-381, May.
    16. Pesaran, M H & Deaton, Angus S, 1978. "Testing Non-Nested Nonlinear Regression Models," Econometrica, Econometric Society, vol. 46(3), pages 677-694, May.
    17. Adrian Pagan, 1986. "Two Stage and Related Estimators and Their Applications," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 517-538.
    18. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-793, May.
    19. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    20. Dastoor, Naorayex K., 1983. "Some aspects of testing non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(2), pages 213-228, February.
    21. Barro, Robert J, 1979. "Unanticipated Money Growth and Unemployment in the United States: Reply," American Economic Review, American Economic Association, vol. 69(5), pages 1004-1009, December.
    22. 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 221-247, February.
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    Cited by:

    1. Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 85-104.
    2. Chavas, Jean-Paul & Kim, Kwansoo, 2005. "An Econometric Analysis of Price Dynamics in the Presence of a Price Floor: The Case of American Cheese," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(01), pages 21-35, April.
    3. Calzolari, Giorgio & Fiorentini, Gabriele, 1993. "Estimating variances and covariances in a censored regression model," MPRA Paper 22598, University Library of Munich, Germany, revised 1993.

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