Finance and Economics Discussion Series: Rational Error Correction
by P A Tinsley (9781288721146)

Finance and Economics Discussion Series: Rational Error Correction
 
P A Tinsley
Release Date: 06 February 2013
Format: Paperback / softback
Pages: 38
Category: Politics & Government
Publisher: Bibliogov
ISBN: 9781288721146
ISBN-10: 1288721145




Under general conditions, linear decision rules of agents with rational expectations are equivalent to restricted error corrections. However, empirical rejections of rational expectation restrictions are the rule, rather than the exception, in macroeconomics. Rejections often are conditioned on the assumption that agents aim to smooth only the levels of actions or are subject to geometric random delays. Generalizations of dynamic frictions on agent activities are suggested that yield closed-form, higher-order decision rules with improved statistical fits and infrequent rejections of rational expectations restrictions. Properties of these generalized rational'' error corrections are illustrated for producer pricing in manufacturing industries.

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