scholarly journals Full Information Estimation and Stochastic Simulation of Models with Rational Expectations

10.3386/t0078 ◽  
1991 ◽  
Author(s):  
Ray Fair ◽  
John Taylor
2018 ◽  
Vol 56 (4) ◽  
pp. 1447-1491 ◽  
Author(s):  
Olivier Coibion ◽  
Yuriy Gorodnichenko ◽  
Rupal Kamdar

This paper argues for a careful (re)consideration of the expectations formation process and a more systematic inclusion of real-time expectations through survey data in macroeconomic analyses. While the rational expectations revolution has allowed for great leaps in macroeconomic modeling, the surveyed empirical microevidence appears increasingly at odds with the full-information rational expectation assumption. We explore models of expectation formation that can potentially explain why and how survey data deviate from full-information rational expectations. Using the New Keynesian Phillips curve as an extensive case study, we demonstrate how incorporating survey data on inflation expectations can address a number of otherwise puzzling shortcomings that arise under the assumption of full-information rational expectations. (JEL D04, E24, E27, E31, E37)


2020 ◽  
Vol 110 (9) ◽  
pp. 2748-2782 ◽  
Author(s):  
Pedro Bordalo ◽  
Nicola Gennaioli ◽  
Yueran Ma ◽  
Andrei Shleifer

We study the rationality of individual and consensus forecasts of macroeconomic and financial variables using the methodology of Coibion and Gorodnichenko (2015), who examine predictability of forecast errors from forecast revisions. We find that individual forecasters typically overreact to news, while consensus forecasts under-react relative to full-information rational expectations. We reconcile these findings within a diagnostic expectations version of a dispersed information learning model. Structural estimation indicates that departures from Bayesian updating in the form of diagnostic overreaction capture important variation in forecast biases across different series, yielding a belief distortion parameter similar to estimates obtained in other settings. (JEL C53, D83, D84, E13, E17, E27, E47)


2018 ◽  
Vol 35 (06) ◽  
pp. 1850045
Author(s):  
Yong Tian ◽  
Bojia Ye ◽  
Marc Sáez Estupiñá ◽  
Lili Wan

The continuous and strong growth of the civil aviation in the world combined with the severe adverse weather problem have made necessary the collaboration between the different civil aviation agents to improve the management of the capacity-demand imbalances in the airspace. In this paper, we consider a stochastic simulation optimization problem for air route selection strategy based on flight delay cost. The problem takes consideration of airspace capacity and demand uncertainty, three strategies, including collaborative reroute strategy (CRS), full information reroute strategy (FIRS) and hybrid stated route preference strategy (HSR), are employed to mitigate the flight delay cost. To find the best strategy, a discrete event simulation model is built by Arena Software, and the Monte Carlo method combined with the OCBA simulation optimization technique is employed for assessing a common severe convective weather scenario in the Central and Southern China airspace. Simulation results imply that HSR schemes show better system-wide performance than CRS and FIRS, these benefits are supposed to come from the batch allocations method. Although the airline can receive full information in advance, FIRS does not show obvious advantage in reducing the total airborne waiting time than CRS. For the system-wide performance FIRS is better than CRS, but not as good as HSR.


2020 ◽  
Vol 20 (2) ◽  
Author(s):  
Marco M. Sorge

AbstractRational expectations (RE) frameworks featuring informational constraints are becoming increasingly popular in macroeconomic research. A recent strand of literature has explored the analytics of RE models with informational subperiods, in which the occurrence of exogenous shocks is period-specific and decision makers condition their own choices and expectations upon a sequence of nested information sets (timing restrictions). Assuming the unrestricted (full information) RE model satisfies saddle-path stability, this paper provides (i) necessary and sufficient conditions for existence of an uncountably infinite set of linearly perturbed solutions to its restricted (informationally constrained) counterpart, and (ii) an algorithm for computing the full set of sunspot solutions when equilibrium indeterminacy occurs.


Author(s):  
G.Y. Fan ◽  
O.L. Krivanek

Full alignment of a high resolution electron microscope (HREM) requires five parameters to be optimized: the illumination angle (beam tilt) x and y, defocus, and astigmatism magnitude and orientation. Because neither voltage nor current centering lead to the correct illumination angle, all the adjustments must be done on the basis of observing contrast changes in a recorded image. The full alignment can be carried out by a computer which is connected to a suitable image pick-up device and is able to control the microscope, sometimes with greater precision and speed than even a skilled operator can achieve. Two approaches to computer-controlled (automatic) alignment have been investigated. The first is based on measuring the dependence of the overall contrast in the image of a thin amorphous specimen on the relevant parameters, the other on measuring the image shift. Here we report on our progress in developing a new method, which makes use of the full information contained in a computed diffractogram.


2012 ◽  
Vol 1 (1) ◽  
Author(s):  
P. Luvsantseren ◽  
K. Lochin ◽  
E. Purevjav

Author(s):  
Thomas J. Sargent

This collection of essays uses the lens of rational expectations theory to examine how governments anticipate and plan for inflation, and provides insight into the pioneering research for which the author was awarded the 2011 Nobel Prize in economics. Rational expectations theory is based on the simple premise that people will use all the information available to them in making economic decisions, yet applying the theory to macroeconomics and econometrics is technically demanding. This book engages with practical problems in economics in a less formal, noneconometric way, demonstrating how rational expectations can satisfactorily interpret a range of historical and contemporary events. It focuses on periods of actual or threatened depreciation in the value of a nation's currency. Drawing on historical attempts to counter inflation, from the French Revolution and the aftermath of World War I to the economic policies of Margaret Thatcher and Ronald Reagan, the book finds that there is no purely monetary cure for inflation; rather, monetary and fiscal policies must be coordinated. This fully expanded edition includes the author's 2011 Nobel lecture, “United States Then, Europe Now.” It also features new articles on the macroeconomics of the French Revolution and government budget deficits.


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