Interpreting Rational Expectations Econometrics via Analytic Function Approach∗
نویسنده
چکیده
An analytic function method is applied to illustrate Geweke (2010)’s three econometric interpretations for a generic rational expectations (RE) model. This makes the model’s cross-equation restrictions imposed by each RE econometric interpretation explicit, formal, and simple. It is shown that the degree of identification on the deep parameters is inversely related to the strength of underlying econometric interpretation, and observationally equivalent models can easily arise once the cross-equation restrictions are interpreted in a minimal sense. This offers important insights into the econometric modeling and evaluation of dynamic stochastic general equilibrium (DSGE) models.
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