A Rational Expectations Approach to Macroeconometrics: Testing Policy Ineffectiveness and Efficient-Markets Models (National Bureau of Economic Research Monograph)

__A Rational Expectations Approach to Macroeconometrics__ pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program. "The hypothesis of rational expectations has led to a major revolution in macroeconomic analysis. It has raised doubts about existing macroeconometric models and the effectiveness of stabilization policy and has brought to light significant implications for the way macroeconomic models should be estimated. In this book Frederic S. Mishkin pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program"--Back cover The recognition in recent years that expectations are extremely important to economic decision making has led to a major revolution in macroeconomic analysis. Frederic S. Mishkin. Includes Index. Bibliography: P. 159-167.