The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control: A Promising Combination? - Couverture rigide

Tucci, Marco P.

 
9780792374848: The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control: A Promising Combination?
Couverture rigide
ISBN 10 : 0792374843 ISBN 13 : 9780792374848
Editeur : Kluwer Academic Publishers, 2005

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Kluwer Academic Publishers
Date d'édition
2005
Langue
anglais
ISBN 10 
0792374843
ISBN 13 
9780792374848
Reliure
Relié
Nombre de pages
262
Coordonnées du fabricant
non disponible
Personne responsable
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Autres éditions populaires du même titre

9781475710618: The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control: A Promising Combination?

Edition présentée

ISBN 10 :  1475710615 ISBN 13 :  9781475710618
Editeur : Springer, 2012
Couverture souple