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EnglishIn this paper the econometric analysis of linear quadratic adjustment cost models with rational expectations and cointegrated variables is extended to a multi-equational set-up and the case of second-order adjustment costs. The proposed method is based on the idea of nesting the system of interrelated Euler equations stemming from the intertemporal optimization problem within a cointegrated Vector Equilibrium Correction Model representing the agent forecast tool. Contrary to previous practise a likelihood-based procedure can be set out without appealing to numerical optimization algorithms. Cointegration and generalized least squares techniques can be used to estimate and test the model.
| Titolo: | Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration |
| Autore/i: | FANELLI, LUCA |
| Autore/i Unibo: | |
| Anno: | 2006 |
| Rivista: | |
| Abstract: | In this paper the econometric analysis of linear quadratic adjustment cost models with rational expectations and cointegrated variables is extended to a multi-equational set-up and the case of second-order adjustment costs. The proposed method is based on the idea of nesting the system of interrelated Euler equations stemming from the intertemporal optimization problem within a cointegrated Vector Equilibrium Correction Model representing the agent forecast tool. Contrary to previous practise a likelihood-based procedure can be set out without appealing to numerical optimization algorithms. Cointegration and generalized least squares techniques can be used to estimate and test the model. |
| Data prodotto definitivo in UGOV: | 2006-02-15 12:55:29 |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
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http://hdl.handle.net/11585/6446
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