Exact linear rational expectations models: specification and estimation

This paper describes how to specify and estimate rational expectations models in which there are exact linear relationships among variables and expectations of variables that the econometrician observes.

[1]  L. Hansen.  Large Sample Properties of Generalized Method of Moments Estimators , 1982 .

[2]  K. Singleton.  Expectations Models of the Term Structure and Implied Variance Bounds , 1980, Journal of Political Economy.

[3]  R. Shiller.  Alternative Tests of Rational Expectations Models: The Case of the Term Structure , 1980 .

[4]  L. Hansen,et al.  Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis , 1980, Journal of Political Economy.

[5]  T. Sargent,et al.  Linear rational expectations models for dynamically interrelated variables , 1980 .

[6]  T. Sargent,et al.  FORMULATING AND ESTIMATING DYNAMIC LINEAR RATIONAL EXPECTATIONS MODELS , 1980 .

[7]  C. Sims.  MACROECONOMICS AND REALITY , 1977 .

[8]  R. Shiller.  The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure , 1979, Journal of Political Economy.

[9]  John Kennan,et al.  The Estimation of Partial Adjustment Models with Rational Expectations , 1979 .

[10]  Robert Kohn,et al.  Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models , 1979 .

[11]  Robert B. Litterman.  Techniques of forecasting using vector autoregressions , 1979 .

[12]  R. Hall.  Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence , 1978, Journal of Political Economy.

[13]  T. Sargent.  Rational Expectations, Econometric Exogeneity, and Consumption , 1978, Journal of Political Economy.

[14]  T. Sargent.  A note on maximum likelihood estimation of the rational expectations model of the term structure , 1978 .

[15]  P. Robinson,et al.  The construction and estimation of continuous time models and discrete approximations in econometrics , 1977 .

[16]  Thomas J. Sargent,et al.  A Classical Macroeconometric Model for the United States , 1976, Journal of Political Economy.

[17]  Thomas J. Sargent,et al.  Rational Expectations and the Term Structure of Interest Rates , 1972 .

[18]  C. Sims.  Money, Income, and Causality , 1972 .

[19]  C. Granger.  Investigating causal relations by econometric models and cross-spectral methods , 1969 .