SEASONALITY AND APPROXIMATION ERRORS IN RATIONAL-EXPECTATIONS MODELS

被引：65

作者：

HANSEN, LP ^{[1
]}

SARGENT, TJ ^{[1
]}

机构：

[1] HOOVER INST WAR REVOLUT & PEACE, STANFORD, CA 94305 USA

来源：

JOURNAL OF ECONOMETRICS | 1993年 / 55卷 / 1-2期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0304-4076(93)90003-N

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A frequency domain representation of the approximation criterion that is implicit in Gaussian maximum likelihood estimation is applied to study the effects of using seasonally adjusted versus seasonally unadjusted data to estimate rational expectations models. Three classes of economic mechanisms for generating seasonality are described. Approximating parameter estimates are computed numerically for several examples.

引用

页码：21 / 55

页数：35

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