Rational Expectations Estimation of Georgia Soybean Acreage Response

Learning , Estimation , and the Stability of Rational Expectations

The stability of the rational expectations equilibrium of a simple asset market model is studied in a situation where a group of traders learn about the relationship between the price and return on the asset using ordinary least squares estimation, and then use their estimates in predicting the return from the price. The model which they estimate is a well-specified model of the rational expect...

Two Phase Sampling for Wheat Acreage Estimation

Rational Expectations in Games

Modern game theory was born in 1928, when John von Neumann published his Minimax Theorem. Inter alia, this theorem ascribes to all two-person zero-sum games a value—what rational players should expect to get. Almost 80 years later, strategic game theory has not gotten beyond that initial point, insofar as the basic question of value is concerned. To be sure, we do have equilibrium theories: the...

SOLUTION AND MAXIMUM LIKELIHOOD ESTIMATION OF DYNAMIC NONLINEAR RATIONAL EXPECTATIONS MODELS A solution method and an estimation method for nonlinear rational expectations

A solution method and an estimation method for nonlinear rational expectations models are presented in this paper. The solution method can be used in forecasting and policy applications and can handle models with serial correlation and multiple viewpoint dates. When applied to linear models, the solution method yields the same results as those obtained from currently available methods that are ...

Learning Within Rational-Expectations Equilibrium

Models of macroeconomic learning are populated by agents who possess a great deal of knowledge of the “true” structure of the economy, and yet ignore the impact of their own learning on that structure; they may learn about an equilibrium, but they do not learn within it. An alternative learning model is presented where agents’ decisions are informed by hypotheses they hold regarding the economy...