Full information estimation and stochastic simulation of models with rational expectations

Fair, Ray C.; Taylor, John B.

doi:10.1002/jae.3950050406

Cited by 26 publications

(4 citation statements)

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“…The model is solved using the Extended Path method for non-linear equations (Fair and Taylor, 1993, 1990). The default setting is that agents in the model have rational expectations in that their expectations are consistent with model predictions.…”

Section: Prices Trade and Equilibriummentioning

confidence: 99%

Using NiGEM in uncertain times: Introduction and overview of NiGEM

Hantzsche¹,

Lopresto²,

Young³

2018

Natl. Inst. econ. rev.

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This paper introduces a special issue of the Review on how the National Institute Global Econometric Model (NiGEM) is being used to navigate uncertain times. NiGEM is the leading global macroeconomic model, used by both policy-makers and the private sector across the globe for economic forecasting, scenario building and stress testing. The paper summarises the main features of NiGEM and describes some standard model simulations to illustrate how the model responds to monetary, fiscal and technology shocks.

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Section: Prices Trade and Equilibriummentioning

confidence: 99%

Using NiGEM in uncertain times: Introduction and overview of NiGEM

Hantzsche¹,

Lopresto²,

Young³

2018

Natl. Inst. econ. rev.

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“…The extra work for RE models is solving for a given value of α the expectations for each of the T viewpoint dates. Various tricks to lessen computational time are discussed in Fair and Taylor (1990). FIML estimates have the advantage of incorporating all the nonlinear restrictions on the reduced form coefficients.…”

Section: Estimationmentioning

confidence: 99%

How Might a Central Bank Report Uncertainty?

Fair¹

2014

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractAn important question for central banks is how they should report the uncertainty of their forecasts. This paper discusses a way in which a central bank could report the uncertainty of its forecasts in a world in which it used a single macroeconometric model to make its forecasts and guide its policies. Suggestions are then made as to what might be feasible for a central bank to report given that it is unlikely to be willing to commit to a single model. A particular model is used as an illustration. JEL E50

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“…This model can also be estimated by the method in Fair and Taylor (1990) (FT). Although the FT method is more computational intensive for linear models than are linear techniques, it can handle nonlinear models and thus may be useful in future research.…”

Section: Article In Pressmentioning

confidence: 99%

Testing price equations

Fair

2008

European Economic Review

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a b s t r a c tHow inflation and unemployment are related in both the short run and long run is perhaps the key question in macroeconomics. This paper tests various price equations using quarterly U.S. data from 1952 to the present. Issues treated are the following. (1) Estimating price and wage equations in which wages affect prices and vice versa versus estimating ''reducedform'' price equations with no wage explanatory variables. (2) Estimating price equations in (log) level terms, first difference (i.e., inflation) terms, and second difference (i.e., change in inflation) terms. (3) The treatment of expectations. (4) The choice and functional form of the demand variable. (5) The choice of the cost-shock variable. The results suggest that the best specification is a price equation in level terms imbedded in a price-wage model, where the wage equation is also in level terms. The best cost-shock variable is the import price deflator, and the best demand variable is the unemployment rate. There is some evidence of a nonlinear effect of the unemployment rate on the price level at low values of the unemployment rate. Many of the results in this paper are contrary to common views in the literature, but the empirical support for them is strong.

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Full information estimation and stochastic simulation of models with rational expectations

Cited by 26 publications

References 10 publications

Using NiGEM in uncertain times: Introduction and overview of NiGEM

Using NiGEM in uncertain times: Introduction and overview of NiGEM

How Might a Central Bank Report Uncertainty?

Testing price equations

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