Skip to main content

Formulating and Estimating Dynamic Linear Rational Expectations Models

Working Paper 127 | Published November 1, 1979

Download PDF

Authors

Lars Peter Hansen

Formulating and Estimating Dynamic Linear Rational Expectations Models

Abstract

This paper describes methods for conveniently formulating and estimating dynamic linear econometric models under the hypothesis of rational expectations. An econometrically convenient formula for the cross-equation rational expectations restrictions is derived. Models of error terms and the role of the concept of Granger causality in formulating rational expectations models are both discussed. Tests of hypothesis of strict econometric exogeneity along the lines of Sim’s are compared with a test that is related to Wu’s.


Published in: _The Legacy of Robert Lucas, Jr._ Kevin D. Hoover, Ed., (Vol. 2, 1999, pp. 330-369).
Published in: _Journal of Economic Dynamics and Control_ (Vol. 2, 1980, pp. 7-46), https://doi.org/10.1016/0165-1889(80)90049-4.