Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Estimating large rational expectations models by FIML - some experiments using a new algorithm with bootstrap confidence limits

Minford, Anthony Patrick Leslie and Webb, Bruce David 2005. Estimating large rational expectations models by FIML - some experiments using a new algorithm with bootstrap confidence limits. Economic Modelling 22 (1) , pp. 187-205. 10.1016/j.econmod.2004.06.002

Full text not available from this repository.

Abstract

We set out an algorithm, based on a guided grid search procedure, for estimating large rational expectations models by FIML. Confidence limits are established by bootstrapping. We give results for a small four-equation version of the Liverpool Model of the UK and for the full Model; these suggest that there is also some bias to be adjusted for. The required bootstrap number for the small model is less than 200 for convergence of the estimates. Also should there be unit roots in the errors, these have the interpretation, given a fully specified theoretical structure, of omitted variables; in a Montecarlo study of the small model when its errors are unit roots it is found that the main parameter estimates are rather robust, with the error processes capturing these roots.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HD Industries. Land use. Labor
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Uncontrolled Keywords: Rational expectations model; New algorithm; Bootstrap confidence limit; FIML
Publisher: Elsevier
ISSN: 0264-9993
Last Modified: 04 Jun 2017 04:28
URI: http://orca-mwe.cf.ac.uk/id/eprint/39573

Citation Data

Cited 3 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item