By Frederic S. Mishkin

ISBN-10: 0226531864

ISBN-13: 9780226531861

A Rational expectancies method of Macroeconometrics pursues a rational expectancies method of the estimation of a category of types commonly mentioned within the macroeconomics and finance literature: these which emphasize the consequences from unanticipated, instead of expected, events in variables. during this quantity, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric therapy of those types after which exhibits tips to estimate them with an annotated laptop software.

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**Extra resources for A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models**

**Example text**

As will be shown below, to calculate RETA for the heteroscedasticity correction and to decide when the last iteration is reached. Lines 248-250 retain only the residuals in the data set DRESID. Lines 251-259 use PROC MEANS to calculate the standard error first of the output equation and then of the weighted forecasting equation. Discussion of the Output in Exhibit A2 The first page of the SAS output shows the convergence to the minimum sum of squared residuals, and pages 3-5 show the asymptotic correlation matrix of the parameter estimates.

13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. 26. 27. 28. 29. 30. 31. 32. 33. 34. 35. 36. 37. 38. 39. 40. 41. 42. 43. 44. 45. 46. 47. 48. 49. 50. 51. 52. 53. 54. 55. 56. 57. 58. 59. 60. 61. 62. 63. 64. 65. 66. 67. 68. 69. 70. 71. 72. 73. 74. 75. 06044268; MIG = MIG/HETA; MIGI MIGI/HETA; MIG2 MIG2/HETA; MIG3 MIG3/HETA; MIG4 MIG4/HETA; RTBI RTB1/HETA; RTB2 RTB2/HETA; RTB3 RTB3/HETA; RTB4 RTB4/HETA; SURP1 SURP1/HETA; SURP2 = SURP2/HETA; SURP3 = SURP3/HETA; SURP4 = SURP4/HETA; C = l/HETA; DATA ONEA; SET ONEA; DROP LGNP; RENAME MIG=LGNP; DATA ONER; SET ONE; C = 1; DATA TWO; SET ONER ONEA; DATA TWOA~ SET TWO; RENAME M1G1=MIGIA MIG2=MIG2A MIG3=MIG3A MIG4=M1G4A RTB1=RTB1A RTB2=RTB2A RTB3=RTB3A RTB4=RTB4A SURP1=SURP1A SURP2=SURP2A SURP3=SURP3A SURP4=SURP4A C=CA; DATA THREE; MERGE TWO TWOA; DATA EST; SET THREE; IF N >=121 THEN M1G=0; IF -N->=121 THEN C=O; IF -N->=121 THEN TIME=O; IF -N->=121 THEN TIME1=0 IF -N->=121 THEN TIME2=0 IF -N->=121 THEN TIME3=0 IF -N->=121 THEN TIME4=0 IF -N->=121 THEN M1G1=0~ IF -N->=121 THEN M1G2=O; IF -N->=121 THEN MIG3=0; IF -N->=121 THEN M1G4=0; IF -N->=121 THEN M1G5=Q; IF -N->=121 THEN RTB1=0; IF -N->=121 THEN RTB2=O; IF -N->=121 THEN RTB3=0~ IF -N->=121 THEN RTB4=O; IF -N->=121 THEN RTB5=0; IF -N->=121 THEN SURP1=0 IF -N->=121 THEN SURP2=0 IF -N->=121 THEN SURP3=0 IF -N->=121 THEN SURP4=0 IF -N->=121 THEN SURP5=0 IF -N->=121 THEN LGNP1=0 IF -N->=121 THEN LGNP2~0 IF -N->=121 THEN LGNP3=0 IF -N->=121 THEN LGNP4=0 IF -N-<121 THEN M1G1A=0; IF -N-<121 THEN M1G2A=0; IF -N-<121 THEN MIG3A=0; IF -N-<121 THEN MIG4A=0; IF -N-<121 THEN RTBIA=O~ IF -N-<121 THEN RTB2A=0; IF -N-<121 THEN RTB3A=0~ IF -N-<121 THEN RTB4A=0; IF -N-<121 THEN SURPIA=O IF -N-<121 THEN SURP2A=0 IF -N-<121 THEN SURP3A=0 IF -N-<121 THEN SURP4A=0 76.

It assumes that the OLS 'Y, the estimate of ~ which minimizes the mean-squared forecasting error, is used in forming expectations in the y equation. Rationality of expectations implies only that subjective probability distributions do not differ from the true probability distributions. This implies that the ~ which is expected to minimize the mean-squared forecasting error is used in forming expectations and not the actual )' which minimizes the meansquared error. Thus, in finite samples, the two-step procedure makes an overly strong assumption about expectations formation.

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