On Model-Consistent Expectations in Macroeconomics

Daniel Heymann and Gabriel Montes-Rojas ()

No 2018-37, Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) from Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET)

Abstract: The practice of ascribing to agents expectations compat- ible with the model currently proposed by the analyst has been a widespread feature in Macroeconomics. However, that is a problematic assumption when used to depict anticipations constructed in the past since it would imply attributing to agents the use of a model that the economist had not yet built, and possibly not yet thought about. Thus, model-consistency is an ambiguous notion. In this paper we present a preliminary exploration of the application of the alternative forms of model-consistency in a very standard setup, using two re-lated analytical constructs of different generations for U.S. data for the period 1959-2015.

Keywords: Model-consistency; Rational expectations; Forecasts; Non-linear testing; Wald tests (search for similar items in EconPapers)
JEL-codes: C12 C52 E47 (search for similar items in EconPapers)
Date: 2018-12
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: On model-consistent expectations in macroeconomics (2018)
Journal Article: On model-consistent expectations in macroeconomics (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ake:iiepdt:201837

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