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The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control - A Promising Combination? (Paperback, Softcover reprint of the original 1st ed. 2004)
Loot Price: R2,953
Discovery Miles 29 530
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The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control - A Promising Combination? (Paperback, Softcover reprint of the original 1st ed. 2004)
Series: Advances in Computational Economics, 19
Expected to ship within 10 - 15 working days
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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.
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