Reduced Forms of Rational Expectations Models
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A01=A. Szafarz
A01=C. Gourieroux
A01=L. Broze
advanced econometric model solutions
ARMA Representation
Author_A. Szafarz
Author_C. Gourieroux
Author_L. Broze
Backward Solution
Category=KCB
Conditional Expectation
Constant Absolute Risk Aversion Utility
Current Endogenous Variable
difference
dynamic systems analysis
economic forecasting methods
endogenous
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Excess Supply
exogenous
Exogenous Process
Expectation Scheme
expectation schemes
Explosive Root
hypothesis
independent
linear
Linear Rational Expectations Models
Linear Simultaneous Equations Model
Linear Solutions
Long Term Equilibrium Relation
Macroeconomic Model Building
macroeconomic modelling
martingale
Martingale Difference
mean-variance optimisation
multivariate time series
Muth Model
Perfect Foresight Model
Prediction Error
process
Rational Expectations
Rational Expectations Hypothesis
Rational Expectations Models
Risk Averse Traders
Riskless Asset
Risky Asset Hold
schemes
Updating Terms
variable
Product details
- ISBN 9780415269261
- Weight: 410g
- Dimensions: 138 x 216mm
- Publication Date: 06 Dec 2001
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Hardback
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A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.
LAURENCE BROZE, CHRISTIAN GOURIEROUX AND ARIANE SZAFARZ
