Rational Expectations Econometrics

Table of contents

• Title Page v
• Contents vii
• Acknowledgments ix
• 1 - Introduction 1
• Notes 12
• 2 - Lecture Notes on Least Squares Prediction Theory 13
• Notes 42
• Notes 44
• 3 - Exact Linear Rational Expectations Models: Specification and Estimation 45
• Notes 74
• 4 - Two Difficulties in Interpreting Vector Autoregressions 77
• Notes 111
• Notes 116
• 5 - Time Series Implications of Present Value Budget Balance and of Martingale Models of Consumption and Taxes 121
• Notes 158
• 6 - Implications of Expected Present Value Budget Balance: Application to Postwar U.S. Data 163
• Notes 175
• 7 - Faster Methods for Solving Continuous Time Recursive Linear Models of Dynamic Economies 177
• Notes 208
• 8 - Prediction Formulas for Continuous Time Linear Rational Expectations Models 209
• Notes 218
• 9 - Identification of Continuous Time Rational Expectations Models from Discrete Time Data 219
• Notes 234
• 10 - Temporal Aggregation of Economic Time Series 237
• Notes 278
• Notes 280
• References 283
• Contributors 294

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