By Frederic S. Mishkin

ISBN-10: 0226531864

ISBN-13: 9780226531861

A Rational expectancies method of Macroeconometrics pursues a rational expectancies method of the estimation of a category of versions commonly mentioned within the macroeconomics and finance literature: these which emphasize the consequences from unanticipated, instead of expected, routine in variables. during this quantity, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric therapy of those versions after which indicates tips on how to estimate them with an annotated machine application.

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156. 03276445 RH04 ZC C*(1-RHOI-RH02-RH03-RH04); MZC = ZC*(-MO-MI-M2-M3-M4-M5-M6-M7); EZC=ZC*(EO+El+E2+E3+E4+E5+E6+E7); ZM = MIGI - RHOl*MlG2 - RH02*MIG3 - RH03*MIG4 - RH04*MIG5; MZM = -MO*ZM - Ml*LAGl(ZM) -M2*LAG2(ZM) - M3*LAG3(ZM) -M4*LAG4(ZM) -M5*LAG5(ZM) - M6*LAG6(ZM) -M7*LAG7(ZM); ZR = RTBI - RHOl*RTB2 - RH02*RTB3 - RH03*RTB4 - RH04*RTB5; MZR = -MO*ZR - Ml*LAGl(ZR) -M2*LAG2(ZR) - M3*LAG3(ZR) -M4*LAG4(ZR) -M5*LAG5(ZR) - M6*LAG6(ZR) -M7*LAG7(ZR); ZH = SURPI - RH01*SURP2 - RH02*SURP3 - RH03*SURP4 - RH04*SURP5; MZH = -MO*ZH - M1*LAGl(ZH) -M2*LAG2(ZH) - M3*LAG3(ZH) -M4*LAG4(ZH) -M5*LAG5(ZH) - M6*LAG6(ZH) -M7*LAG7(ZH); EZM = EO*ZM + E1*LAG1(ZM) + E2*LAG2(ZM) + E3*LAG3(ZM) + E4*LAG4(ZM) + E5*LAG5(ZM) + E6*LAG6(ZM) + E7*LAG7(ZM) EZR = EO*ZR + E1*LAGl(ZR) + E2*LAG2(ZR) + E3*LAG3(ZR) + E4*LAG4(ZR) + E5*LAG5(ZR) + E6*LAG6(ZR) + E7*LAG7(ZR) EZH = EO*ZH + El*LAG1(ZH) + E2*LAG2(ZH) + E3*LAG3(ZH) + E4*LAG4(ZH) + E5*LAG5(ZH) + E6*LAG6(ZH) + E7*LAG7(ZH) EM = AO*C + Al*MlGl + A2*MIG2 + A3*MIG3 + A4*MIG4 + A5*RTBI + A6*RTB2 + A7*RTB3 + A8*RTB4 + A9*SURP1 + A10*SURP2 + Al1*SURP3 A12*SURP4 ; UM = MIG - EM; UMI LAGl(UM); UM2 LAG2(UM); UM3 LAG3 (UM) ; UM4 LAG4(UM); UM 5 LAG 5 ( UM) ; UM6 LAG6(UM); UM 7 LAG 7 ( UM) ; UM8 LAG8(UM); UM9 LAG9(UM); UMI0 = LAG10(UM); UM11 = LAGll(UM); EMI LAGl(EM); EM2 LAG2(EM); EM3 LAG3 (EM) ; Etv14 LAG4 (EM) ; EM5 LAG5(EM); Exhibit At (continued) Line No.

Discussion of the Output in Exhibit A2 The first page of the SAS output shows the convergence to the minimum sum of squared residuals, and pages 3-5 show the asymptotic correlation matrix of the parameter estimates. Only pages 2, 6, and 7 are displayed as they are of the greatest interest. Page 2 contains the parameter estimates, their asymptotic standard errors, and the sum of squared residuals of the system. 04752109. 01012971. Pages 6 and 7 show the standard errors of the output equation and the weighted forecasting equation, respectively, in the standard deviation column.

128. 129. 130. 131. 132. 133. 134. 135. 136. 137. 138. 139. 140. 141. 142. 143. 144. 145. 146. 147. 148. 149. 150. 151. 152. 153. 154. 155. 156. 03276445 RH04 ZC C*(1-RHOI-RH02-RH03-RH04); MZC = ZC*(-MO-MI-M2-M3-M4-M5-M6-M7); EZC=ZC*(EO+El+E2+E3+E4+E5+E6+E7); ZM = MIGI - RHOl*MlG2 - RH02*MIG3 - RH03*MIG4 - RH04*MIG5; MZM = -MO*ZM - Ml*LAGl(ZM) -M2*LAG2(ZM) - M3*LAG3(ZM) -M4*LAG4(ZM) -M5*LAG5(ZM) - M6*LAG6(ZM) -M7*LAG7(ZM); ZR = RTBI - RHOl*RTB2 - RH02*RTB3 - RH03*RTB4 - RH04*RTB5; MZR = -MO*ZR - Ml*LAGl(ZR) -M2*LAG2(ZR) - M3*LAG3(ZR) -M4*LAG4(ZR) -M5*LAG5(ZR) - M6*LAG6(ZR) -M7*LAG7(ZR); ZH = SURPI - RH01*SURP2 - RH02*SURP3 - RH03*SURP4 - RH04*SURP5; MZH = -MO*ZH - M1*LAGl(ZH) -M2*LAG2(ZH) - M3*LAG3(ZH) -M4*LAG4(ZH) -M5*LAG5(ZH) - M6*LAG6(ZH) -M7*LAG7(ZH); EZM = EO*ZM + E1*LAG1(ZM) + E2*LAG2(ZM) + E3*LAG3(ZM) + E4*LAG4(ZM) + E5*LAG5(ZM) + E6*LAG6(ZM) + E7*LAG7(ZM) EZR = EO*ZR + E1*LAGl(ZR) + E2*LAG2(ZR) + E3*LAG3(ZR) + E4*LAG4(ZR) + E5*LAG5(ZR) + E6*LAG6(ZR) + E7*LAG7(ZR) EZH = EO*ZH + El*LAG1(ZH) + E2*LAG2(ZH) + E3*LAG3(ZH) + E4*LAG4(ZH) + E5*LAG5(ZH) + E6*LAG6(ZH) + E7*LAG7(ZH) EM = AO*C + Al*MlGl + A2*MIG2 + A3*MIG3 + A4*MIG4 + A5*RTBI + A6*RTB2 + A7*RTB3 + A8*RTB4 + A9*SURP1 + A10*SURP2 + Al1*SURP3 A12*SURP4 ; UM = MIG - EM; UMI LAGl(UM); UM2 LAG2(UM); UM3 LAG3 (UM) ; UM4 LAG4(UM); UM 5 LAG 5 ( UM) ; UM6 LAG6(UM); UM 7 LAG 7 ( UM) ; UM8 LAG8(UM); UM9 LAG9(UM); UMI0 = LAG10(UM); UM11 = LAGll(UM); EMI LAGl(EM); EM2 LAG2(EM); EM3 LAG3 (EM) ; Etv14 LAG4 (EM) ; EM5 LAG5(EM); Exhibit At (continued) Line No.

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A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models by Frederic S. Mishkin


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