The estimation of single equation rational expectations models: an application to UK consumption
Article Abstract:
A new menu-driven computer package called SEREM (Statistical Estimation of Rational Expectations Models) can rapidly compute some Rational Expectations (RE) estimators that are valid in the presence of serial correlation. The program is written in GAUSS, but it requires little knowledge of GAUSS and accepts ASCII data. Using SEREM and applying the resulting estimators to a previous study of UK consumption data shows that t-statistics fall noticeably when serial correlation estimates are more accurate.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1993
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The demand for money in Greece: an exercise in econometric modelling with cointegrated variables
Article Abstract:
A recent study found that a structural econometric model (SEM) with cointegrated variables can show how the Greek monetary demand changes with changes in inflation, income, interest rates and total money holdings. The model shows that inflation seems to be the principal factor influencing the demand for money and that inflation acceleration is strongly dependent on inflation history.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1993
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