The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control
Springer (Verlag)
978-0-7923-7484-8 (ISBN)
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.
Marco P. Tucci graduated in Economics at the University of Sienna, then he went to the University of Texas at Austin (USA) where he got his Ph. D. specializing in Control Theory, Econometrics and Empirical Macroeconomics. He is currently Associate Professor at the University of Sienna and a member of the Society of Computational Economics. He has published in the Journal of Computational Economics, Journal of Economic Dynamics and Control, Journal of Structural Changes and Economic Dynamics, Economic Notes and has contributed to books. He is referee for the above mentioned journals and for Macroeconomic Dynamics.
1 Introduction.- 1.1 Introduction.- 1.2 Adaptive control and time-varying parameters.- 1.3 Time-varying parameters and the rational expectations hypothesis.- 1.4 The organization of the book.- 1.5 Suggestion for future research.- 1: Adaptive Control and Time-Varying Parameters.- 2 Kendrick’s (1981) Case.- 3 The Uncertain Parameter Mean Case.- 4 The Complete Uncertainty Case.- 5 Adaptive Control in the Presence of Time-Varying Parameters.- 6 The Nonconvexities Problem in Adaptive Control Models.- 2: Time-Varying Parameters and the Rational Expectations Hypotesis.- 7 The Rational Expectations Hypotesis in Linear Stationary Models: A New Formulation of Single-Equation Models.- 8 The State Space Representation of Single-Equation RE Models.- 9 The Identification Problem in Single-Equation RE Models.- 10 The Estimation Problem in Single-Equation RE Models.- References.- Name Index.
| Reihe/Serie | Advances in Computational Economics ; 19 |
|---|---|
| Zusatzinfo | XVIII, 262 p. |
| Verlagsort | Dordrecht |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Themenwelt | Wirtschaft ► Allgemeines / Lexika |
| Wirtschaft ► Volkswirtschaftslehre | |
| ISBN-10 | 0-7923-7484-3 / 0792374843 |
| ISBN-13 | 978-0-7923-7484-8 / 9780792374848 |
| Zustand | Neuware |
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