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Dynamic Modelling and Rational Expectations. General Analysis of Dynamic Models. Estimation Methods. Empirical Results. Dynamic Modelling and Cointegration. Stationarity. The Background to Cointegration Theory. Integrated Variables and Cointegration. Estimating the Cointegrating Vector. Testing for Cointegration. Disequilibrium Models. Disequilibrium Models. Estimation Methods. The Specification and Estimation of a Disequilibrium Model of the Labour Market. Macro Models. The Key Equations in the Macro Model. Conclusions. Model Solutions, Dynamic Tracking and Mechanical Forecasts. Solving Large Non-Linear Models. Solving Non-Linear Models with Consistent and Rational Expectations. Stochastic Analysis in Non-Linear Models. A General Background. An Application of Stochastic Simulation. Testing if a Non-Linear Model is Bijective. Estimating the Uncertainty of a Model's Simulation Properties. Optimal Control and Dynamic Analysis of Macro Economic Models. Linear Theory of Optimal Control: An Overview of the Finite Case. Optimal Control Solutions Using Non-Linear Models. Optimal Control Exercises Using Complete Macro Models. The Issue of Time Inconsistency in Macro Policy. Game Theory: Some Basic Concepts. The Initial Analysis of Time Inconsistency. The Linear Structurally Dynamic Case. Time Inconsistency in a Large Scale Non-Linear Model. Conclusions. References. Appendix.
This book arose out of research carried out by the authors in the period 1983-1987 whilst at the National Institute of Economic and Social Research. A number of things combined to impart the basic thrust of the research: partly the developments in formulating and estimating rational expectations models, and partly actual developments in the UK economy itself.
An application of recent developments in dynamic modelling to a complete macroeconometric model of the UK is presented. Rational expectations modelling, co-integration and disequilibrium modelling are covered. The book also develops computational procedures for obtaining efficient solutions to large-scale models, and illustrates model solutions assuming rational expectations and stochastic simulations. Finally, sections on the analysis of models using optimal control methods illustrate applications of a large-scale econometric model. This section also discusses policy applications, including the derivation of time-consistent policies in the presence of rational expectations, giving quantified illustrations.
- No. of pages:
- © North Holland 1988
- 1st June 1988
- North Holland
- eBook ISBN:
@qu:.....the authors have done a splendid job in presenting the analytical issues very clearly and concisely. In this aspect the monograph is a valued contribution to modern research on macroeconomic modelling which is growing very fast. It would prove most useful to all researchers who have to understand, analyze and empirically apply macrodynamic economic models. The monograph deserves all the recommendation for graduate teaching and research. @source: J.K. Sengupta in the Journal of Economics, 1990
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