The Econometric Analysis of Non-Uniqueness in Rational Expectations Models

Citations

Cited by:

1. Ariane Szafarz, 2015. "Market Efficiency and Crises:Don’t Throw the Baby out with the Bathwater," Bankers, Markets & Investors, ESKA Publishing, issue 139, pages 20-26, November-.
   • Ariane Szafarz, 2015. "Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater," Working Papers CEB 15-036, ULB -- Universite Libre de Bruxelles.
   • Ariane Szafarz, 2015. "Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater," ULB Institutional Repository 2013/239874, ULB -- Universite Libre de Bruxelles.
2. Marco M. Sorge, 2013. "On the Fundamentalness of Nonfundamentalness in DSGE Models," CSEF Working Papers 340, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
3. Manuel S. Santos & Michael Woodford, 1997. "Rational Asset Pricing Bubbles," Econometrica, Econometric Society, vol. 65(1), pages 19-58, January.
   • Manuel S. Santos & Michael Woodford, 1993. "Rational Asset Pricing Bubbles," Working Papers 9304, Centro de Investigacion Economica, ITAM.
   • Santos, Manuel S. & Woodford, Michael, 1995. "Rational asset pricing bubbles," UC3M Working papers. Economics 3913, Universidad Carlos III de Madrid. Departamento de Economía.
4. Junior, Renato Galvão Flôres & Szafarz, Ariane, 1992. "Minimal identification of dynamic rational expectations systems," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 46(3), July.
   • Renato Flôres & Ariane Szafarz, 1992. "Minimal Identification of Dynamic Rational Expectations Systems," ULB Institutional Repository 2013/691, ULB -- Universite Libre de Bruxelles.
5. Vázquez Jesús, 2004. "Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-41, March.
   • Jesús Vázquez, 2004. "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," Economic Working Papers at Centro de Estudios Andaluces E2004/11, Centro de Estudios Andaluces.
6. Sorge Marco M., 2020. "Computing sunspot solutions to rational expectations models with timing restrictions," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(2), pages 1-10, June.
   • Sorge Marco M., 2020. "Computing sunspot solutions to rational expectations models with timing restrictions," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(2), pages 1-10, June.
   • Marco M. Sorge, 2018. "Computing Sunspot Solutions to Rational Expectations Models with Timing Restrictions," CSEF Working Papers 514, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
7. Vázquez Pérez, Jesús, 2002. "Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
8. Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers 1405, University of Vienna, Department of Economics.
9. Marco M. Sorge, 2013. "A Note on Information Flows and Identification of News Shocks Models," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 56(1), pages 28-38.
   • Marco M. Sorge, 2013. "A Note on Information Flows and Identification of News Shocks Models," EERI Research Paper Series EERI RP 2013/08, Economics and Econometrics Research Institute (EERI), Brussels.
10. Fanelli, Luca, 2012. "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Journal of Econometrics, Elsevier, vol. 170(1), pages 153-163.
    • Luca Fanelli, 2010. "Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models," Quaderni di Dipartimento 4, Department of Statistics, University of Bologna.
11. Bernd Funovits, 2020. "The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models," Papers 2002.04369, arXiv.org.
12. Marco Maria Sorge, 2010. "A note on Kalman filter approach to solution of rational expectations models," Economics Bulletin, AccessEcon, vol. 30(3), pages 2002-2009.
    • Sorge, Marco M., 2010. "A Note on Kalman Filter Approach To Solution of Rational Expectations Models," Bonn Econ Discussion Papers 04/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
13. Honkapohja, Seppo & Mitra, Kaushik, 2004. "Are non-fundamental equilibria learnable in models of monetary policy?," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1743-1770, November.
    • Seppo Honkapohja & Kaushik Mitra, "undated". "Are Non-Fundamental Equilibria Learnable in Models of Monetary Policy?," Discussion Papers 01/05, Department of Economics, University of York.
    • Kaushik Mitra & Seppo Honkapohja, 2004. "Are Non-Fundamental Equilibria Learnable in Models of Monetary Policy?," Royal Holloway, University of London: Discussion Papers in Economics 04/13, Department of Economics, Royal Holloway University of London, revised Jul 2004.
    • Honkapohja, S. & Mitra, K., 2001. "Are Non-Fundamental Equilibria Learnable in Models of Monetary Policy?," University of Helsinki, Department of Economics 501, Department of Economics.
    • Honkapohja, Seppo & Mitra, Kaushik, 2001. "Are Non-Fundamental Equilibria Learnable in Models of Monetary Policy?," CEPR Discussion Papers 2846, C.E.P.R. Discussion Papers.
14. Luca Fanelli & Marco M. Sorge, 2015. "Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?," CSEF Working Papers 402, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
15. Jesus Vazquez, 2002. "Does the Lucas critique apply during hyperinflation?: empirical evidence from four hyperinflationary episodes," Applied Economics, Taylor & Francis Journals, vol. 34(11), pages 1389-1397.
16. María José Gutiérrez & Jesús Vázquez, "undated". "The Changing Behavior of the Term Structure of Post-War U.S. Interest Rates and Changes in the Federal Reserve Chairman. Is There a Link?," Working Papers on International Economics and Finance 01-03, FEDEA.
    • María-José Gutiérrez & Jesús Vázquez, 2001. "The Changing Behavior Of The Term Structure Of Post-War U.S. Interest Rates And Changes In The Federal Reserve Chairman: Is There A Link?," Working Papers 01-03, Asociación Española de Economía y Finanzas Internacionales.
17. Szafarz, Ariane, 2012. "Financial crises in efficient markets: How fundamentalists fuel volatility," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 105-111.
    • Ariane Szafarz, 2010. "Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility," Working Papers CEB 10-052, ULB -- Universite Libre de Bruxelles.
    • Ariane Szafarz, 2012. "Financial crises in efficient markets: How fundamentalists fuel volatility," ULB Institutional Repository 2013/149191, ULB -- Universite Libre de Bruxelles.
18. Sorge, Marco M., 2012. "News shocks or parametric indeterminacy? An observational equivalence result in linear rational expectations models," Economics Letters, Elsevier, vol. 114(2), pages 198-200.
19. Marco M. Sorge, 2020. "Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 363-372, June.
20. Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
    • Ariane Szafarz, 2010. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," DULBEA Working Papers 10-01.RS., ULB -- Universite Libre de Bruxelles.
21. Francesco Carravetta & Marco Sorge, 2010. "A “Nearly Ideal” Solution to Linear Time-Varying Rational Expectations Models," Computational Economics, Springer;Society for Computational Economics, vol. 35(4), pages 331-353, April.
22. Fanelli, Luca & Sorge, Marco M., 2017. "Indeterminate forecast accuracy under indeterminacy," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 57-70.
23. Carrillo, Julio A. & Fève, Patrick, 2004. "Some Perils of Policy Rule Regression," IDEI Working Papers 301, Institut d'Économie Industrielle (IDEI), Toulouse.
24. Marco M. Sorge, 2010. "On the Empirical Separability of News Shocks and Sunspots," Notas Económicas, Faculty of Economics, University of Coimbra, issue 32, pages 44-55, December.
25. Dave, Chetan & Sorge, Marco M., 2020. "Sunspot-driven fat tails: A note," Economics Letters, Elsevier, vol. 193(C).
26. Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers vie1405, University of Vienna, Department of Economics.
27. Flôres Jr., Renato G. & Szafarz, Ariane, 1994. "Agents, Econometricians and the Identification of Rational Expectations Systems," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 14(1), April.
28. Sorge, Marco M., 2021. "Stabilizing Taylor rules and determinacy under unit root supply shocks: A re-examination," Journal of Macroeconomics, Elsevier, vol. 68(C).
29. Frank Hespeler & Marco M. Sorge, 2019. "Solving Rational Expectations Models with Informational Subperiods: A Comment," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1649-1654, April.
30. Wenzelburger, Jan, 2006. "Learning in linear models with expectational leads," Journal of Mathematical Economics, Elsevier, vol. 42(7-8), pages 854-884, November.