Year: 2007
Type: article
Abstract: cover in this paper have been influenced by an extensive collaboration with Thomas Sargent. I greatly appreciate conversations with Xiaohong Chen, John Heaton, Ravi Jagannathan, Monika Piazzesi and Martin Schneider. I owe a special acknowledgement to Thomas Sargent and Grace Tsiang who provided many valuable comments on preliminary drafts of this paper. Also I want to thank participants at workshops at NYU and Federal Reserve Bank of Chicago. Junghoon Lee and Ricardo Mayer provided expert research assistance. This material is based upon work supported by the National Science Foundation under Award Number SES0519372. This paper explores two perspectives on the rational expectations hypothesis. One perspec-tive is that of economic agents in such a model, who form inferences about the future using probabilities implied by the model. The other is that of an econometrician who makes in-ferences about the probability model that economic agents are presumed to use. Typically it is assumed that economic agents know more than the econometrician, and econometric ambiguity is often withheld from the economic agents. To understand better both of these perspectives and the relation between them, I appeal to statistical decision theory to charac-
Source: American Economic Review
DOI: 10.1257/aer.97.2.1
Author: Lars Peter Hansen
Institution: University of Chicago
Language: English
Topic: Economic theories and models
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2170986688