Réduction, identification et estimation des modèles à anticipation rationnelles

Doctorat en Sciencesinfo:eu-repo/semantics/nonPublishe

Minimum variance solutions of rational expectations models

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The Econometric Analysis of Non-Uniqueness in Rational Expectations Models

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On econometric models with rational expectations

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Non-explosive solutions of rational expectations models with limited informations

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On Linear Models with Rational Expectations which Admit a Unique solution

Based on a generalization of Doob's theorem, the method used in this paper is applied to derive the unique reduced form a general linear model containing rational expectations of the current endogenous variables made in several previous periods. In this procedure there is no need for assumptions on the structure of the policy instruments. © 1984.info:eu-repo/semantics/publishe

Lissage exponentiel généralisé

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Forme réduite d'un modèle général à anticipations rationnelles

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Solutions des modèles linéaires à anticipations rationnelles

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Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators

In this paper, we introduce an adjusted pseudo-maximum likelihood method. This procedure consists of solving centered pseudo-likelihood equations, i.e. equations in which the bias of the score function due to the misspecification is corrected by introducing terms involving its empirical mean. We show that these estimators may be considered as covariance estimators, i.e. estimators defined by means of some zero correlation constraints. These estimators are studied, especially their asymptotic properties and also their links with moment estimators. (C) 1998 Elsevier Science S.A. All rights reserved