Interpreting Economic Time Series

@article{Sargent1981InterpretingET,
  title={Interpreting Economic Time Series},
  author={Thomas J. Sargent},
  journal={Journal of Political Economy},
  year={1981},
  volume={89},
  pages={213 - 248}
}
  • T. Sargent
  • Published 1981
  • Economics
  • Journal of Political Economy
This paper explores some of the implications for econometric practice of the principle that people's observed behavior will change when their constraints change. In dynamic contexts, a proper definition of people's constraints includes among them laws of motion that describe the evolution of the taxes they must pay and the prices of the goods that they buy and sell. Changes in agents' perceptions of these laws of motion (or constraints) will in general produce changes in the schedules that… Expand
Forecasting the Forecasts of Others
This paper explores the formulation and analysis of linear equilibrium models of investment in which learning is perpetual and informationally decentralized firms need never share the same beliefsExpand
Counterfactuals, Forecasts, and Choice-Theoretic Modelling of Policy
This paper focuses on the problem of formulating an analysis of economic policy that is consistent with rational expectations. Cooley, LeRoy,and Raymon show that the Lucas and Sargent strategy forExpand
Econometric Policy Evaluation: Note
for successive values of the endogenous variables y,, with the x, treated as deterministic forcing variables. Here 0 is a parameter vector and the Et are random shocks. Lucas correctly observed thatExpand
Fiscal Foresight: Analytics and Econometrics
Fiscal foresight---the phenomenon that legislative and implementation lags ensure that private agents receive clear signals about the tax rates they face in the future---is intrinsic to the taxExpand
Labor-force heterogeneity and the business cycle
In the past ten or so years, there has been a revival of interest in equilibrium models of the business cycle. The view had been that accounting for the persistence of cyclical movements in outputExpand
Fiscal Foresight and Information Flows
Fiscal foresight - the phenomenon that legislative and implementation lags ensure that private agents receive clear signals about the tax rates they face in the future - is intrinsic to the taxExpand
Fiscal Foresight and Information Flows
Fiscal foresight -- the phenomenon that legislative and implementation lags ensure that private agents receive clear signals about the tax rates they face in the future -- is intrinsic to the taxExpand
Stochastic models in dynamic economics: problems of time inconsistency, causality and estimation
The theory of feedback and optimal control, originally developed for and applied most successfully in physical and engineering systems, has found many applications in dynamic economics for over twoExpand
Quantitative Theory and Econometrics
Quantitative theory uses simple, abstract economic models together with a small amount of economic data to highlight major economic mechanisms. To illustrate the methods of quantitative theory, weExpand
Recursive Models of Dynamic Linear Economies
A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use theseExpand
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 67 REFERENCES
Rational Expectations and the Theory of Price Movements
In order to explain fairly simply how expectations are formed, we advance the hypothesis that they are essentially the same as the predictions of the relevant economic theory. In particular, theExpand
A Theory of the Consumption Function
What is the exact nature of the consumption function? Can this term be defined so that it will be consistent with empirical evidence and a valid instrument in the hands of future economic researchersExpand
Expectations and the neutrality of money
This paper provides a simple example of an economy in which equilibrium prices and quantities exhibit what may be the central feature of the modern business cycle: a systematic relation between theExpand
ESTIMATION AND CONTROL OF A MACROECONOMIC MODEL WITH RATIONAL EXPECTATIONS
The paper investigates an econometric method for selecting macroeconomic policy rules when expectations are formed rationally. A simple econometric model of the U.S. is estimated subject to a set ofExpand
Rational expectations forecasts from nonrational models
Abstract This paper puts forward a method of policy simulation with an existing macroeconometric model under the maintained assumption that individuals form their expectations rationally. This newExpand
Optimum Consumption and Portfolio Rules in a Continuous-Time Model*
Publisher Summary A common hypothesis about the behavior of limited liability asset prices in perfect markets is the random walk of returns or in its continuous-time form the geometric BrownianExpand
MULTIPERIOD PREDICTIONS FROM STOCHASTIC DIFFERENCE EQUATIONS BY BAYESIAN METHODS
Given n observations on a system of linear stochastic difference equations with appropriate initial conditions, and given a prior density (possibly diffuse) of its parameters, this paper obtains theExpand
Stabilizing Powers of Monetary Policy under Rational Expectations
The potential of monetary policy to stabilize fluctuations in output and employment is demonstrated in a stochastic rational expectations model in which firms choose, considering averageExpand
The Macroeconomic Impact of Changes in Income Taxes in the Short and Medium Runs
  • R. Hall
  • Economics
  • Journal of Political Economy
  • 1978
The effects of an unexpected change in income taxes are studied in a model with full rational expectations. In the short run, aggregate supply is quite price elastic because commitments to payExpand
Simulation Methodology in Macroeconomics: An Innovation Technique
This paper discusses a simulation procedure where innovations from time-series processes are used in conducting simulation experiments with macroeconometric models. A particular theoretical exampleExpand
...
1
2
3
4
5
...