Seasonality and approximation errors in rational expectations models

Lars Peter Hansen, Thomas Sargent

    Research output: Contribution to journalArticle

    Abstract

    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.

    Original languageEnglish (US)
    Pages (from-to)21-55
    Number of pages35
    JournalJournal of Econometrics
    Volume55
    Issue number1-2
    DOIs
    StatePublished - 1993

    Fingerprint

    Rational Expectations
    Seasonality
    Approximation Error
    Maximum Likelihood Estimation
    Estimate
    Frequency Domain
    Economics
    Approximation
    Model
    Rational expectations models
    Approximation error
    Class
    Frequency domain
    Maximum likelihood estimation

    ASJC Scopus subject areas

    • Economics and Econometrics
    • Finance
    • Statistics and Probability

    Cite this

    Seasonality and approximation errors in rational expectations models. / Hansen, Lars Peter; Sargent, Thomas.

    In: Journal of Econometrics, Vol. 55, No. 1-2, 1993, p. 21-55.

    Research output: Contribution to journalArticle

    Hansen, Lars Peter ; Sargent, Thomas. / Seasonality and approximation errors in rational expectations models. In: Journal of Econometrics. 1993 ; Vol. 55, No. 1-2. pp. 21-55.
    @article{80c6125d36df49089d1dc8d860412c0d,
    title = "Seasonality and approximation errors in rational expectations models",
    abstract = "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.",
    author = "Hansen, {Lars Peter} and Thomas Sargent",
    year = "1993",
    doi = "10.1016/0304-4076(93)90003-N",
    language = "English (US)",
    volume = "55",
    pages = "21--55",
    journal = "Journal of Econometrics",
    issn = "0304-4076",
    publisher = "Elsevier BV",
    number = "1-2",

    }

    TY - JOUR

    T1 - Seasonality and approximation errors in rational expectations models

    AU - Hansen, Lars Peter

    AU - Sargent, Thomas

    PY - 1993

    Y1 - 1993

    N2 - 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.

    AB - 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.

    UR - http://www.scopus.com/inward/record.url?scp=0001920287&partnerID=8YFLogxK

    UR - http://www.scopus.com/inward/citedby.url?scp=0001920287&partnerID=8YFLogxK

    U2 - 10.1016/0304-4076(93)90003-N

    DO - 10.1016/0304-4076(93)90003-N

    M3 - Article

    VL - 55

    SP - 21

    EP - 55

    JO - Journal of Econometrics

    JF - Journal of Econometrics

    SN - 0304-4076

    IS - 1-2

    ER -