The Rational Expectation Hypothesis Time Varying Parameters And Adaptive Control

Author : Marco P. Tucci
Publisher : Springer Science & Business Media
Page : 268 pages
File Size : 54,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781402028748

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The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control by Marco P. Tucci Pdf

One of the major controversies in macroeconomics over the last 30 years has been that on the effectiveness of stabilization policies. However, this debate, between those who believe that this kind of policies is useless if not harmful and those who argue in favor of it, has been mainly theoretical so far. The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control wants to represent a step toward the construction of a common ground on which to empirically compare the two "beliefs" and to do this three strands of literature are brought together. The first strand is the research on time-varying parameters (TVP), the second strand is the work on adaptive control and the third one is the literature on linear stationary models with rational expectations (RE). The material presented in The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control is divided into two parts. Part 1 combines the strand of literature on adaptive control with that on TVP. It generalizes the approach pioneered by Tse and Bar-Shalom (1973) and Kendrick (1981) and one recently used in Amman and Kendrick (2002), where the law of motion of the TVP and the hyperstructural parameters are assumed known, to the case where the hyperstructural parameters are assumed unknown. Part 2 is devoted to the linear single-equation stationary RE model estimated with the error-in-variables (EV) method. It presents a new formulation of this problem based on the use of TVP in an EV model. This new formulation opens the door to a very promising development. All the theory developed in the first part to control a model with TVP can sic et simpliciter be applied to control a model with RE.

Author : Marco P. Tucci
Publisher : Springer
Page : 262 pages
File Size : 43,5 Mb
Release : 2012-08-07
Category : Business & Economics
ISBN : 1475710607

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The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control by Marco P. Tucci Pdf

One of the major controversies in macroeconomics over the last 30 years has been that on the effectiveness of stabilization policies. However, this debate, between those who believe that this kind of policies is useless if not harmful and those who argue in favor of it, has been mainly theoretical so far. The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control wants to represent a step toward the construction of a common ground on which to empirically compare the two "beliefs" and to do this three strands of literature are brought together. The first strand is the research on time-varying parameters (TVP), the second strand is the work on adaptive control and the third one is the literature on linear stationary models with rational expectations (RE). The material presented in The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control is divided into two parts. Part 1 combines the strand of literature on adaptive control with that on TVP. It generalizes the approach pioneered by Tse and Bar-Shalom (1973) and Kendrick (1981) and one recently used in Amman and Kendrick (2002), where the law of motion of the TVP and the hyperstructural parameters are assumed known, to the case where the hyperstructural parameters are assumed unknown. Part 2 is devoted to the linear single-equation stationary RE model estimated with the error-in-variables (EV) method. It presents a new formulation of this problem based on the use of TVP in an EV model. This new formulation opens the door to a very promising development. All the theory developed in the first part to control a model with TVP can sic et simpliciter be applied to control a model with RE.

Author : Marco P. Tucci
Publisher : Unknown
Page : 95 pages
File Size : 40,8 Mb
Release : 1993
Category : Electronic
ISBN : OCLC:955081836

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The Rational Expectation Hypothesis, Time-varying Parameters and Adaptive Control by Marco P. Tucci Pdf

Author : Karl Schmedders,Kenneth L. Judd
Publisher : Newnes
Page : 680 pages
File Size : 41,5 Mb
Release : 2013-12-31
Category : Business & Economics
ISBN : 9780080931784

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Handbook of Computational Economics by Karl Schmedders,Kenneth L. Judd Pdf

Handbook of Computational Economics summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods. With computational power increasing in hardware and algorithms, many economists are closing the gap between economic practice and the frontiers of computational mathematics. In their efforts to accelerate the incorporation of computational power into mainstream research, contributors to this volume update the improvements in algorithms that have sharpened econometric tools, solution methods for dynamic optimization and equilibrium models, and applications to public finance, macroeconomics, and auctions. They also cover the switch to massive parallelism in the creation of more powerful computers, with advances in the development of high-power and high-throughput computing. Much more can be done to expand the value of computational modeling in economics. In conjunction with volume one (1996) and volume two (2006), this volume offers a remarkable picture of the recent development of economics as a science as well as an exciting preview of its future potential. Samples different styles and approaches, reflecting the breadth of computational economics as practiced today Focuses on problems with few well-developed solutions in the literature of other disciplines Emphasizes the potential for increasing the value of computational modeling in economics

Author : Anonim
Publisher : Unknown
Page : 352 pages
File Size : 49,7 Mb
Release : 2005
Category : Economics
ISBN : UCSD:31822034842864

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Journal of Economic Literature by Anonim Pdf

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 42,6 Mb
Release : 2024-06-29
Category : Electronic
ISBN : 9789814469401

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Economic Models by Anonim Pdf

Author : Arthur James Wells
Publisher : Unknown
Page : 1664 pages
File Size : 54,5 Mb
Release : 2005
Category : Bibliography, National
ISBN : UOM:39015062080349

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The British National Bibliography by Arthur James Wells Pdf

Author : Anonim
Publisher : Unknown
Page : 1158 pages
File Size : 40,7 Mb
Release : 2003
Category : Economic development
ISBN : UCAL:B4944632

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Journal of Economic Dynamics & Control by Anonim Pdf

Author : Masanao Aoki
Publisher : Unknown
Page : 440 pages
File Size : 54,9 Mb
Release : 1989
Category : Mathematics
ISBN : UCAL:B4406450

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Optimization of Stochastic Systems by Masanao Aoki Pdf

From the Preface The first edition of this book was written mainly for audiences with physical science and engineering backgrounds. Nevertheless, it reached some readers with economic and management science training. Analytical training of graduate students in economics and management sciences had progressed much in the last 20 years, and many new research results and optimization algorithms have also become available. My own interest in the meantime has shifted to the analysis of dynamics and optimization problems of economic and management science origin. With these developments and changes, I decided to rewrite much of the first edition to make it more accessible to graduate students and professionals in social sciences. I have also incorporated some new analytic tools that I deem useful in analyzing the dynamic and stochastic problems which confront these readers. I hope that my efforts successfully bring intertemporal optimization problems closer to economics professionals. New topics introduced into this second edition appear mostly in Chapters 2, 4, 5, 6, and 8. Martingales and martingale differences are introduced early in Chapter 2. Some limit theorems and asymptotic properties of linear state space models driven by martingale differences are presented. Because many excellent books are available on martingales and their limit theorems, derivations and proofs are mostly sketchy, and readers are referred to these sources. The results in Chapteer 2 are applied in Chapters 5, 6, and 8, among other places. The notion of dynamic aggregation and its relation to cointegration and error-correction models are developed in Chapter 4. Some recursive parameter estimation schemes and their statistical properties are included in Chapters 5 and 6. Here again, books devoted entirely to these topics are available in the literature, and much had to be omitted to keep the second edition to a manageable size. In an appendix to Chapter 7, a potentially very powerful tool in proving convergence of adaptive schemes is outlined. Rational expectations models and their solution methods are developed in Chapter 8 because of their wide-spread interest to economists. A very important class of problems in sequential decision problems revolves around questions of approximating nonlinear dynamics or more generally complex situations with a sequence of less complex ones. Chapter 9 does not begin to do justice to this class of problems but is included as being suggestive of works to be done. When I first started contemplating the revision of the first edition, I benefited from a list of excellent suggestions from Rick van der Ploeg, though I did not necessarily incorporate all of his suggestions. Conversations with Thomas Sargent and Victor Solo were useful in organizing the material into the form of the second edition. I also benefited from discussions with Hashem Pesaran and correspondences with L. Broze in finalizing Chapter 8. Some material in this book was used as lecture notes in a graduate course in the Department of Economics, University of California, Los Angeles, the winter quarter of 1987. I thank the participants in the course for many useful comments. Key Features * This major revision of the First Edition addresses optimization problems stated in stochastic difference equations, which often contain uncertain or randomly varying parameters * Presents a set of concepts and techniques useful in analyzing or controlling stochastic dynamic processes, with possible incompletely specified characteristics * It discusses basic system properties such as: * Stability and observability * Dynamic programming formulations of optimal and adaptive control problems * Parameter estimation schemes and their convergence behavior * Solution methods for rational expectations models using martingale differences

Author : Anonim
Publisher : Unknown
Page : 1426 pages
File Size : 44,7 Mb
Release : 2006
Category : Books
ISBN : UOM:39015066121404

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Book Review Index by Anonim Pdf

Every 3rd issue is a quarterly cumulation.

Author : International Federation of Automatic Control. World Congress
Publisher : Unknown
Page : 572 pages
File Size : 41,6 Mb
Release : 1985
Category : Automatic control
ISBN : STANFORD:36105001825954

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A Bridge Between Control Science and Technology by International Federation of Automatic Control. World Congress Pdf

Author : Lars Peter Hansen,Thomas J. Sargent
Publisher : Princeton University Press
Page : 453 pages
File Size : 52,9 Mb
Release : 2016-06-28
Category : Business & Economics
ISBN : 9780691170978

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Robustness by Lars Peter Hansen,Thomas J. Sargent Pdf

The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.

Author : Ian Corfield
Publisher : Unknown
Page : 62 pages
File Size : 42,8 Mb
Release : 1992
Category : Inflation (Finance)
ISBN : IND:30000044954422

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Inflation - What's that Got to Do with the Price of Fish? by Ian Corfield Pdf

Author : Cars Hommes
Publisher : Cambridge University Press
Page : 273 pages
File Size : 53,7 Mb
Release : 2013-01-24
Category : Business & Economics
ISBN : 9781107019294

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Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems by Cars Hommes Pdf

Recognising that the economy is a complex system with boundedly rational interacting agents, applies complexity modelling to economics and finance.

Author : Markus Zenner
Publisher : Springer
Page : 226 pages
File Size : 51,8 Mb
Release : 1996-07-12
Category : Business & Economics
ISBN : STANFORD:36105017944021

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Learning to Become Rational by Markus Zenner Pdf

1. 1 Rational Expectations and Learning to Become Rational A characteristic feature of dynamic economic models is that, if future states of the economy are uncertain, the expectations of agents mat ter. Producers have to decide today which amount of a good they will produce not knowing what demand will be tomorrow. Consumers have to decide what they spend for consumption today not knowing what prices will prevail tomorrow. Adopting the neo-classical point of view that economic agents are 'rational' in the sense that they behave in their own best interest given their expectations about future states of the ecomomy it is usually assumed that agents are Bayesian deci sion makers. But, as LUCAS points out, there remains an element of indeterminacy: Unfortunately, the general hypothesis that economic agents are Bayesian decision makers has, in many applications, lit tle empirical content: without some way of infering what an agent's subjective view of the future is, this hypothesis is of no help in understanding his behavior. Even psychotic behavior can be (and today, is) understood as "rational", given a sufficiently abnormal view of relevant probabili ties. To practice economics, we need some way (short of psychoanalysis, one hopes) of understanding which decision problem agents are solving. (LucAs (1977, p. 15)) 2 CHAPTER 1. INTRODUCTION 1. 1.