Inferring Changes in Expectation Behavior Over Time: An Application of Nonlinear Time-Varying-Parameters Estimation
推断预期行为随时间的变化:非线性时变参数估计的应用
This article develops a new method for inferring the structure of agents' expectations from macroeconomic time series. Two versions of a somewhat stylized macroeconomic model are examined. Expectations of money growth are a central driving variable, assumed to be formed as a time-varying weighted average of alternative money-growth models. The weights are estimated as time-varying parameters jointly with the structural parameters for the model, using a nonlinear time-varying…