کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5100014 | 1377073 | 2006 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration](/preview/png/5100014.png)
چکیده انگلیسی
In this paper the econometric analysis of linear quadratic adjustment cost models with rational expectations and cointegrated variables is extended to the multi-equational SET-UP and the case of second-order adjustment costs. The proposed method is based on the idea of nesting the system of interrelated Euler equations stemming from the intertemporal optimization problem within a cointegrated Vector Equilibrium Correction Model representing the agent forecast tool. Contrary to previous practise a likelihood-based procedure can be set out without appealing to numerical optimization algorithms. Cointegration and generalized least squares techniques can be used to estimate and test the model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 30, Issue 3, March 2006, Pages 445-456
Journal: Journal of Economic Dynamics and Control - Volume 30, Issue 3, March 2006, Pages 445-456
نویسندگان
Luca Fanelli,