Template-Type: ReDIF-Article 1.0

Author-Name: Daniel Heymann
Author-Workplace-Name: IIEP-BAIRES-CONICET
 
Author-Name: Gabriel Montes-Rojas
Author-Workplace-Name: IIEP-BAIRES-CONICET


Title: On model-consistent expectations in macroeconomics.
 
Abstract: In  this  paper  we  explore  an  alternative  version  of  model-  consistency  of expectations,   which   allows   the   expectation-   generating   schemes   to   vary according  to  the  state  of  accepted  macroeconomic  analysis.  We  perform  an econometric  exercise  using  standard  existing  models  of  different  generations (built  for  the  US  economy)  as  potential  expectations-  forming  tools. The discussion and implementation of alternative forms of model- consistency is the main purpose of the paper. As for the results, they suggest an absence of strong sensitivity to the expectations- generating schemes in past decades,  while the performance of the models become problematic in recent times marked by the Great Recession.

Classification-JEL: C12; C52; E47
 
Keywords:  Model-consistency;  Rational  expectations;  Forecasts;  Non-linear
testing; Wald tests.
Journal: Económica

Pages: 22-45
Volume: 64
Year: 2018
Month: January-December
File-URL: https://revistas.unlp.edu.ar/Economica/article/view/6014/5553
File-Format: Application/pdf
Handle: RePEc:akh:journl:614