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 1 April 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… 

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 beliefs

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 for

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 that

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 tax

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, we

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 these

Economic and econometric models

From micro to macro: Essays on rationality, bounded rationality, and microfoundations.

This thesis examines some issues at the heart of theoretical macroeconomics, namely the possibility of establishing a predictive theory of individual behaviour and transforming it into a theory of

Monetary Policies and Low-Frequency Manifestations of the Quantity Theory ∗

To detect the quantity theory of money, we follow Lucas (1980) by looking at scatter plots of filtered time series of inflation and money growth rates and interest rates and money growth rates. Like
...

References

SHOWING 1-10 OF 68 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, the

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 of

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 researchers

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 the

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 pay

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 example

Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule

  • S. Fischer
  • Economics
    Journal of Political Economy
  • 1977
The paper is concerned with the role of monetary policy and argues that activist monetary policy can affect the behavior of real output, rational expectations notwithstanding. A rational expectations
...