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Are Policy Variables Exogenous?: The Econometric Implications of Learning while Maximizing: 364 - Brossura
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1. 1 Motivation and Definition of Topic To provide motivation and to help define the topic of this study, important links between specific areas of economic theory are first highlighted. (i) Learning and Rational Expectations Theory In a standard rational expectations setting, agents in equilibrium have all the information about the model that enables them to correctly forecast future payoff-relevant variables. What rational expectations theory in its standard form does not tell us is what happens outside a rational expectations equilibrium. Less than complete knowledge of the model is a possible way to represent a situation outside the rational expectations equilibrium. It is natural to assume that agents recognize error and optimally utilize all available external information to improve on their information level, i. e. learn. Based on the information acquired by learning they modify their behavior. Under certain conditions learning steers the economy to the rational expectations equilibrium (Spear (1989), Blume, Bray and Easley (1982), Townsend (1983». This literature shows that learning is a possible mechanism to acquire the necessary level of information that agents are assumed to possess in a rational expectations equilibrium and hence there is a clear link between rational expectations theory and the 2 theory of learning. This fact is also emphasized among others by Friedman (1975), Pesaran (1987) and DeCanio (1979). (ii) Rational Expectations and Econometrics The equilibrium consequences of the rational expectations hypothesis are discussed in a considerable body of literature - cf.
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Contenuti
I Introduction.- II A Paradigmatic Example.- III Econometric Implications.- IV Simulation.- V Tests for Exogeneity.- VI Summary, Directions for Future Research.- Appendices.- Appendix A.- Appendix B.- Appendix C.- Appendix D.
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Are Policy Variables Exogenous? The Econometric Implications of Learning While Maximizing.
Editore:
Berlin, Springer Berlin / Heidelberg, 1991
ISBN 10: 3540542876
ISBN 13: 9783540542872
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Da: Antiquariat Bookfarm, Löbnitz, Germania
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Softcover. 174 S. Ehem. Bibliotheksexemplar mit Signatur und Stempel. GUTER Zustand, ein paar Gebrauchsspuren. Ex-library with stamp and library-signature. GOOD condition, some traces of use. 3540542876 Sprache: Englisch Gewicht in Gramm: 900. Codice articolo 2347840
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Are policy variables exogenous? The econometric implications of learning while maximizing.
Da: Antiquariat Bookfarm, Löbnitz, Germania
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Softcover. Ehem. Bibliotheksexemplar mit Signatur und Stempel. GUTER Zustand, ein paar Gebrauchsspuren. Ex-library with stamp and library-signature. GOOD condition, some traces of use. Jd 996 3540542876 Sprache: Englisch Gewicht in Gramm: 550. Codice articolo 2211270
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Are Policy Variables Exogenous?: The Econometric Implications of Learning while Maximizing (Lecture Notes in Economics and Mathematical Systems, 364)
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Are Policy Variables Exogenous? : The Econometric Implications of Learning While Maximizing
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Are Policy Variables Exogenous? (Paperback)
Editore:
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin, 1991
ISBN 10: 3540542876
ISBN 13: 9783540542872
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Paperback. Condizione: new. Paperback. This book explores the econometric implications of a policy-maker's learning. In a simple discrete model the policymaker maximizes the discounted sum of tax revenues subject to a constraint which involves an unknown parameter specifying the occurrence of Bayesian learning. An optimal balance needs to be found between maximizing current payoff and generating information which enhances the efficiency of maximization in subsequent periods. Learning is demonstrated to affect the exogeneity status of policy variables in small samples and to have implications analogous to the phenomenon in the focus of the Lucas critique. Active learning is proven to be a distinct cause of time inconsistency of optimal plane. It is argued that learning cannot be dismissed as a merely transitory source of these phenomena. A simulation exercise supplies quantitative evidence. Finally, the data generated are used to perform empirical exogeneity tests. Results show that the effect of Bayesian learning is empirically detectable. Learning is generally accepted as the driving force towards a rational expectations equilibrium with perfect information.In this context, the result on the loss of exogeneity of policy variables is an out-of-equilibrium econometric implication of the rational expectations hypothesis. This book is the first to explore the effect of an informational feedback on exogeneity. This book demonstrates that Bayesian learning by rational policymakers affects the exogeneity status of policy variables in econometric models by creating an intertemporal informational feedback. This phenomenon is empirically detectable using exogeneity tests. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Codice articolo 9783540542872
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Are Policy Variables Exogenous?: The Econometric Implications of Learning while Maximizing (Lecture Notes in Economics and Mathematical Systems, 364)
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Are Policy Variables Exogenous?: The Econometric Implications of Learning while Maximizing (Lecture Notes in Economics and Mathematical Systems, 364)
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Are Policy Variables Exogenous?
Editore:
Springer Berlin Heidelberg Aug 1991, 1991
ISBN 10: 3540542876
ISBN 13: 9783540542872
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -1. 1 Motivation and Definition of Topic To provide motivation and to help define the topic of this study, important links between specific areas of economic theory are first highlighted. (i) Learning and Rational Expectations Theory In a standard rational expectations setting, agents in equilibrium have all the information about the model that enables them to correctly forecast future payoff-relevant variables. What rational expectations theory in its standard form does not tell us is what happens outside a rational expectations equilibrium. Less than complete knowledge of the model is a possible way to represent a situation outside the rational expectations equilibrium. It is natural to assume that agents recognize error and optimally utilize all available external information to improve on their information level, i. e. learn. Based on the information acquired by learning they modify their behavior. Under certain conditions learning steers the economy to the rational expectations equilibrium (Spear (1989), Blume, Bray and Easley (1982), Townsend (1983'. This literature shows that learning is a possible mechanism to acquire the necessary level of information that agents are assumed to possess in a rational expectations equilibrium and hence there is a clear link between rational expectations theory and the 2 theory of learning. This fact is also emphasized among others by Friedman (1975), Pesaran (1987) and DeCanio (1979). (ii) Rational Expectations and Econometrics The equilibrium consequences of the rational expectations hypothesis are discussed in a considerable body of literature - cf. 180 pp. Englisch. Codice articolo 9783540542872
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Are Policy Variables Exogenous? : The Econometric Implications of Learning while Maximizing
Da: Chiron Media, Wallingford, Regno Unito
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PF. Condizione: New. Codice articolo 6666-IUK-9783540542872
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