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The Effect of Sampling Error on the Time Series Behavior of Consumption Data
The Effect of Sampling Error on the Time Series Behavior of Consumption Data
Introduction
The rational expectations revolution has transformed the methodology of macroeconometric research. In the new style, the researcher typically begins by specifying a dynamic optimization problem faced by agents in the model economy. Then the researcher derives the solution to the optimization problem, expressed as a stochastic model for some observable economic variable(s). A trademark of research in this tradition is that each of the parameters in the model for the observable variables is endowed with a specific economic interpretation. The last step in the research program is the application of the model to actual economic data to see whether the model conforms with the data. The trend toward this style of research has been especially striking in the consumption literature.
Others in Series
Working Paper
Ambiguities Associated with the Fitting of ARMA Models to Time Series
Examples are presented illustrating some ambiguities associated with the application of ARMA models.
Working Paper
Akaike's Information Criterion II
AIC is a statistic defined for parametric models whose parameters have been obtained by maximizing a form of likelihood function.
Working Paper
A Conversation with Hirotugu Akaike
Hirotugu Akaike was born in Fujinomiya City, Shizuoka Prefecture, Japan on the fifth of November 1927.
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Page Last Revised - October 8, 2021
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