Econometric Implications of the Rational Expectations Hypothesis

Wallis, Kenneth F.

doi:10.2307/1912018

Cited by 374 publications

(99 citation statements)

References 25 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Identification of this class of dynamic models was originally studied in Wallis (1980) and has recently been explored in Binder and Pesaran (2001).…”

Section: B Dynamic Linear Modelsmentioning

confidence: 99%

Identification of Social Interactions

Blume

Brock²,

Durlauf³

et al. 2011

Handbook of Social Economics

274

224

View full text Add to dashboard Cite

While interest in social determinants of individual behavior has led to a rich theoretical literature and many efforts to measure these influences, a mature "social econometrics" has yet to emerge. This chapter provides a critical overview of the identification of social interactions. We consider linear and discrete choice models as well as social networks structures. We also consider experimental and quasi-experimental methods. In addition to describing the state of the identification literature, we indicate areas where additional research is especially needed and suggest some directions that appear to be especially promising. KeywordsSocial interactions, social networks, identification JEL Classification C21, C23, C31, C35, C72, Z13 CommentsPrepared for the Handbook of Social Economics, J. Benhabib, A. Bisin, and M. Jackson, eds. We thank Andres Aradillas-Lopez, Jane Cooley, James Heckman, Charles Manski and Salvador Navarro for many conversations on the subject of this chapter. Financial support has been supplied to Blume by NSF grant CCF-0910940 and WWTF Grant "Die Evolution von Normen and Konventionen in der

show abstract

“…Identification of this class of dynamic models was originally studied in Wallis (1980) and has recently been explored in Binder and Pesaran (2001).…”

Section: B Dynamic Linear Modelsmentioning

confidence: 99%

Identification of Social Interactions

Blume

Brock²,

Durlauf³

et al. 2011

Handbook of Social Economics

274

224

View full text Add to dashboard Cite

show abstract

“…In this situation, the rational expectations model can permit "irrational" expectations as shown by Sargent and Neil Wallace (1973) in the context of Cagan's (1956) model of hyperinflation. The usual identification condition, of having no more expectations variables than exogenous variables in a model with current expectations, established in Kenneth Wallis (1980), will not hold in this situtation.…”

Section: Multiple Equilibria Disequilibrium and Switching Regimesmentioning

confidence: 97%

Owning Up to Uncertainty in Macroeconomics

Furstenberg

Jeong

1988

Geneva Pap Risk Insur Issues Pract

View full text Add to dashboard Cite

“…The suggested testing strategy (or joint test), hereafter denoted the 'J →LM' procedure, exploits the merits of both 'limited-' and 'full-information' estimation techniques available for LRE models (Wallis, 1980;Wickens, 1982;West, 1986) and is built upon the following arguments:…”

Section: The Idea Is To Combine In a Joint Test The Outcome Of The Ovmentioning

confidence: 99%

“…As is known, LRE models can be estimated either by 'full-' or 'limited-information' methods (Wallis, 1980;Wickens, 1982;West, 1986). With 'full-information' methods, if the LRE model is correctly specified, efficient estimates of the structural parameters are retrieved from the CER that the LRE model places on the implied reduced form(s), hence it is of crucial importance to know whether the solution is determinate or indeterminate.…”

Section: 1 Estimation Issuesmentioning

confidence: 99%