Advances in Computational Economics

The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control

A Promising Combination?

Authors: Tucci, Marco P.

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About this book

One of the major controversies in macroeconomics over the last 30 years has been that on the effectiveness of stabilization policies. However, this debate, between those who believe that this kind of policies is useless if not harmful and those who argue in favor of it, has been mainly theoretical so far.

The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control wants to represent a step toward the construction of a common ground on which to empirically compare the two "beliefs" and to do this three strands of literature are brought together. The first strand is the research on time-varying parameters (TVP), the second strand is the work on adaptive control and the third one is the literature on linear stationary models with rational expectations (RE).

The material presented in The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control is divided into two parts. Part 1 combines the strand of literature on adaptive control with that on TVP. It generalizes the approach pioneered by Tse and Bar-Shalom (1973) and Kendrick (1981) and one recently used in Amman and Kendrick (2002), where the law of motion of the TVP and the hyperstructural parameters are assumed known, to the case where the hyperstructural parameters are assumed unknown. Part 2 is devoted to the linear single-equation stationary RE model estimated with the error-in-variables (EV) method. It presents a new formulation of this problem based on the use of TVP in an EV model. This new formulation opens the door to a very promising development. All the theory developed in the first part to control a model with TVP can sic et simpliciter be applied to control a model with RE.

About the authors

Marco P. Tucci graduated in Economics at the University of Sienna, then he went to the University of Texas at Austin (USA) where he got his Ph. D. specializing in Control Theory, Econometrics and Empirical Macroeconomics. He is currently Associate Professor at the University of Sienna and a member of the Society of Computational Economics. He has published in the Journal of Computational Economics, Journal of Economic Dynamics and Control, Journal of Structural Changes and Economic Dynamics, Economic Notes and has contributed to books. He is referee for the above mentioned journals and for Macroeconomic Dynamics.

Table of contents (10 chapters)

Buy this book

eBook $149.00
price for USA (gross)
  • ISBN 978-1-4020-2874-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $199.00
price for USA
  • ISBN 978-0-7923-7484-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $199.00
price for USA
  • ISBN 978-1-4757-1061-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control
Book Subtitle
A Promising Combination?
Authors
Series Title
Advances in Computational Economics
Series Volume
19
Copyright
2004
Publisher
Springer US
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4020-2874-8
DOI
10.1007/978-1-4020-2874-8
Hardcover ISBN
978-0-7923-7484-8
Softcover ISBN
978-1-4757-1061-8
Series ISSN
0929-130X
Edition Number
1
Number of Pages
XVIII, 262
Topics