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題名：論「精確線型理性預期模型計量方法」應用之限制
書刊名：經濟論文叢刊
作者：李秀雲 引用關係
作者(外文)：Lee, Hsiu-yun
出版日期：1998
卷期：26:3
頁次：頁243-257
主題關鍵詞：精確線型理性預期模型；前瞻解；因果關係；Exact linear rational expectation model；Forward solution；Granger causality
原始連結：連回原系統網址new window
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　　　　　在理性預期的假設之下，經濟模型往往需要將變數前瞻求解以達成體系之收斂， 這當中包括部份經濟變數的實現值與其他經濟變數的預期值之間，存在著無誤差項動態關係 的模型。 Hansen and Sargent(1981) 廣為應用之精確線型理性預期模型計量分析，說明了 如何針對前瞻解模型導出跨式限制以進行假說檢定。本文指出應用 Hansen and Sargent 的 這套計量分析方法，不能在檢定模型引申推論的同時，也將理論上變數之自發或外生性質加 諸在 VAR 模型之因果關係中； 內生的前瞻解變數必須在統計上有助於外生變數之預測，才 可以保証時間序列模型不會出現與定態性質相矛盾的參數估計結果。
　　　　　Many rational expectations models have forward-looking solution. This includes models in which there is an exact linear relationship between the expected future values of exogenous variables and the current and past values of endogenous ones. Hansen and Sargent (1981) called such kind of models exact linear rational expectations models (ELRE). They derived the time series model's cross-equation restrictions and proposed a method to specify and estimate ELRE. However, the ELRE econometric analysis cannot be applied to models which assume that exogenous variables follow an AR process. More specifically, when using the ELRE econometric analysis, one must have the Granger causality from endogenous variables to variables which are exogenous in a structural model to get the correct eigenvalues in the corresponding restricted time series model.
期刊論文
1.Blanchard, Olivier J.(1979)。Backward and forward solutions for economies with rational expectations。American Economic Review，69，114-118。  new window
2.Blanchard, O. J.、Kahn, C. M.(1980)。The solution of linear difference models under rational expectation。Econometrica，48，1305-1311。  new window
3.Campbell, John Y.(1987)。Does saving anticipate declining labor income? An alternative test of permanent income hypothesis。Econometric，55，1249-1273。  new window
4.Campbell, J. Y.、Deaton, A.(1989)。Why is consumption so smooth?。Review of Economics Studies，56(3)，357-374。  new window
5.Campbell, J. Y.、Shiller, R. J.(1988)。Interpreting cointegrated models。Journal of Economic Dynamics and Control，12(2)，505-522。  new window
6.Hannan, E. J.(1969)。The identification of vector mixed autoregressive-moving average systems。Biometrika，56，223-225。  new window
7.Hannan, E. J.(1971)。The identification problem for multiple equation systems with moving average errors。Econometrica，39，751-765。  new window
8.Hansen, L. P.、Sargent, T. J.(1981)。Exact linear rational expectations models: specification and estimation。Federal Reserve Bank of Minneapolis Research Department Staff Report，71。  new window
9.Huang, Chao-Hsi、Lin, Kenneth S.(1993)。Deficits, government expenditures and tax smoothing in the United States: 1929-1988。Journal of Monetary Economics，31，317-339。  new window
10.King, Robert G.、Plosser, Charles I.、Rebelo, Sergio T.(1988)。Production, growth and business cycles: the basic neoclassical model。Journal of Monetary Economics，21(2)，195-232。  new window
11.Muth, John F.(1961)。Rational expectations and theory of price movements。Econometrica，29，315-335。  new window
12.Sargent, Thomas J.(1978)。Estimation of dynamic labor demand schedules under rational expectations。Journal of Political Economy，86(6)，1009-1044。  new window
13.Sheffrin, S. M.、Woo, W. T.(1990)。Present value tests of an intertemporal model of the current account。Journal of International Economics，29，237-253。  new window
14.Singleton, Kenneth J.(1980)。Expectations models of the term structure and implied variance bounds。Journal of Political Economy，88(6)，1159-1176。  new window
15.Campbell, J. Y.、Shiller, R. J.(1987)。Cointegration and tests of present value models。Journal of Political Economy，95(5)，1062-1088。  new window
16.Shiller, Robert J.(1979)。The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure。Journal of Political Economy，87(6)，1190-1219。  new window
17.林向愷(19911200)。投資人異質性與股價的決定：臺灣的實證分析。經濟論文叢刊，19(4)，383-411。new window  延伸查詢new window
18.Lucas, Robert E. Jr.(1978)。Asset Prices in an Exchange Economy。Econometrica，46(6)，1429-1445。  new window
19.LeRoy, Stephen F.、Porter, Richard D.(1981)。The Present-Value Relation: Tests Based on Implied Variance Bounds。Econometrica，49(3)，555-574。  new window
圖書
1.Hansen, L. P.、Sargent, T. J.(1991)。Rational Expectations Econometrics。Westview Press。  new window
2.McCallum, Bennett T.、Whitaker, John K.(1989)。Monetary Economics: Theory and Policy。New York, NY：Macmillan Publishing Company。  new window
單篇論文
1.Geweke, John(1980)。A note on the testable implications of expectations models。  new window
圖書論文
1.Hansen, Lars P.、Roberds, W.、Sargent, T. J.(1991)。Time series implications of present value budget balance and of martingale models of consumption and taxes。Rational Expectations Econometrics。Westview Press。  new window
2.Roberds, William(1991)。Implications of expected present value budget balance: application to postwar U.S. data。Rational Expectations Econometrics。Westview Press。  new window
 
 
 
 
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