The observable implications of self-fulfilling expectations

Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models

“…16 A way to rule out sunspots explicitly is to consider only the variables which enter the econometrician's information set, see Hamilton and Whiteman (1985) and Evans and Honkapohja (1986).…”

“…On the econometric side, the non-uniqueness problem in the econometrics of LRE models has traditionally been associated with a particular type of 'explosive indeterminacy' that may arise in models for financial asset markets and foreign exchange markets, or in the Cagan's monetary model of hyperinflation, usually called rational bubbles, see, inter alia, Flood and Garber (1980), Hamilton and Whiteman (1985), West (1987), Casella (1989), Evans (1991), Imrohoroglu (1993) and Engsted and Nielsen (2010). Aside from rational bubbles, however, only a few of studies, reviewed in detail in Section 3, have dealt with the problem of testing determinacy/indeterminacy in stable LRE models.…”

Owning Up to Uncertainty in Macroeconomics

“…Recent work by James Hamilton and Charles Whiteman (1985) suggests that observable implications of self-fulfilling expectations, such as bubbles or "sunspot" equilibria that exist only because they are arbitrarily created and temporarily sustained by faith in them, are difficult to extract from price data. The difficulty is that the joint hypothesis normally tested contains a wider range of possibilities and of relations between observables and unobservables than would be needed for identification.…”

Bolhas racionais no índice Bovespa

“…Pode-se estudar a presença de bolhas nos preços de ações de maneira teórica (como em Hamilton and Whiteman (1985), Campbell and Shiller (1988) e Santos and Woodford (1997)) ou econométrica. Alguns estudos econométricos procuram detectar bolhas nos preços das ações através de mudanças de regime markoviano.…”