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理性预期假说的检验AI 解读

This paper develops a test of the rational expectations hypothesis advanced by Muth [18]. The framework considered here allows for multiperiod expectations of several endogenous variables, with or without lagged exogenous variables. In conventional (linear) models, the hypothesis implies that the expectations are linear in certain relevant variables, and restricts the coefficients of these variables to be certain functions of the parameters in the imbedding model. The test…

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SUR 系统中受限残差的使用：若干有限样本结果AI 解读

Consider a system of two seemingly unrelated regression equations: , where X2 is a proper subset of X1, i.e., X1≡(X2: L2), and Σ = (σij) is the disturbance covariance matrix. Let be the -estimators based, respectively, on the restricted estimate of Σ and on the unrestricted estimate S of Σ. This paper derives finite sample variances of the , and examines their efficiency with respect to the are identical to the OLS estimator obtained directly from , and are efficient. On the…

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