IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v55y1993i2p237-44.html
   My bibliography  Save this article

The Estimation of Single Equation Rational Expectations Models: An Application to UK Consumption

Author

Listed:
  • Robertson, Donald
  • Scott, Andrew

Abstract

Rational expectations models in which the forecast horizon is not equal to the sampling interval may result in serially correlated errors. Valid inference requires adjustment to the variance-covariance matrix. This paper outlines SEREM (Statistical Estimation of Rational Expectations Models)--a computer package written in GAUSS that computes a number of estimators that have been proposed to circumvent this problem. An application of these estimators to U.K. consumption suggests that the intertemporal elasticity of substitution for consumption is numerically close to, but significantly different from, zero. Copyright 1993 by Blackwell Publishing Ltd

Suggested Citation

  • Robertson, Donald & Scott, Andrew, 1993. "The Estimation of Single Equation Rational Expectations Models: An Application to UK Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(2), pages 237-244, May.
    • Handle: RePEc:bla:obuest:v:55:y:1993:i:2:p:237-44
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ben Groom & David Maddison Pr., 2019. "New Estimates of the Elasticity of Marginal Utility for the UK," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 72(4), pages 1155-1182, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:55:y:1993:i:2:p:237-44. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfeixuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.