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