Lungu, Laurian, Matthews, Kent Gerard Patrick ORCID: https://orcid.org/0000-0001-6968-3098 and Minford, Anthony Patrick Leslie ORCID: https://orcid.org/0000-0003-2499-935X 2008. Partial current information and signal extraction in a rational expectations macroeconomic model: A computational solution. Economic Modelling 25 (2) , pp. 255-273. 10.1016/j.econmod.2007.06.001 |
Abstract
Previous attempts at modelling current observed endogenous financial variables in a macroeconomic model have concentrated on only one variable — the short-term rate of interest. This paper applies a general search algorithm to a macroeconomic model with an observed interest rate and exchange rate to solve the signal extraction problem. Firstly, the algorithm is tested against a linear model with a known analytical solution. Then, the algorithm is applied to all the observed current endogenous variables in a non-linear rational expectations model of the UK. The informational advantage of applying the signal extraction algorithm is evaluated in terms of the forecasting efficiency of the model.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Business (Including Economics) |
Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HG Finance Q Science > QA Mathematics > QA75 Electronic computers. Computer science |
Uncontrolled Keywords: | Rational expectations ; Partial current information ; Signal extraction ; Macroeconomic modelling |
Publisher: | Elsevier |
ISSN: | 0264-9993 |
Last Modified: | 19 Oct 2022 09:01 |
URI: | https://orca.cardiff.ac.uk/id/eprint/19738 |
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