Forecasting the Forecasts of Others in the Frequency Domain

Review of Economic Dynamics

Volumn 3, Issue 4, 2000, Pages 726-756

  Kasa, Kenneth ^a  

^a Research Department   (United States)

Author keywords

Signal extraction; infinite regress; frequency domain

Indexed keywords

EID: 0034288384     PISSN: 10942025     EISSN: None     Source Type: Journal    
DOI: 10.1006/redy.1999.0085     Document Type: Article

References (29)

1. Aumann R. Agreeing to Disagree. Annals of Statistics. 4:1976;1236-1239.
2. Binder M., Pesaran M. H. Decision Making in the Presence of Heterogeneous Information and Social Interactions. International Economic Review. 39:1998;1027-1052.
3. Cogley T., Nason J. M. Output Dynamics in Real-Business-Cycle Models. American Economic Review. 85:1995;492-511.
4. Conway J. B. Functions of One Complex Variable. 1978;Springer-Verlag, Berlin/New York.
5. Epstein L. G., Wang T. Intertemporal Asset Pricing Under Knightian Uncertainty. Econometrica. 62:1994;283-322.
6. Evans G. Expectation Stability and the Multiple Equilibria Problem in Linear Rational Expectations Models. Quarterly Journal of Economics. 100:1985;1217-1233.
7. Farmer R. E. A. The Macroeconomics of Self-Fulfilling Prophecies. 1993;MIT Press, Cambridge.
8. Futia C. A. Rational Expectations in Stationary Linear Models. Econometrica. 49:1981;171-192.
9. Grossman S. J., Weiss L. Heterogeneous Information and the Theory of the Business Cycle. Journal of Political Economy. 90:1982;699-727.
10. Hansen L. P., Sargent T. J. Formulating and Estimating Dynamic Linear Rational Expectations Models. Journal of Economic Dynamics and Control. 2:1980;7-46.
11. Hansen L. P., Sargent T J. Two Difficulties in Interpreting Vector Autoregressions. Hansen Lars, Sargent Thomas J. Rational Expectations Econometrics. 1991;Westview Press.
12. Hansen, L. P, Sargent, T. J, and, Tallarini, T. D. 1997, Robust Permanent Income and Pricing, Unpublished manuscript, Univ. of Chicago.
13. Hoffman K. Banach Spaces of Analytic Functions. 1962;Prentice-Hall, New York.
14. Keynes J. M. The General Theory of Employment, Interest, and Money. 1936;Harcourt Brace & World, New York.
15. Kydland F. E., Prescott E. C. Time-to-Build and Aggregate Fluctuations. Econometrica. 50:1982;1345-1370.
16. Lucas R. E. Jr. An Equilibrium Model of the Business Cycle. Journal of Political Economy. 83:1975;1113-1144.
17. Muth J. F. Optimal Properties of Exponentially Weighted Forecasts. Journal of American Statistics Association. 55:1960;299-306.
18. Muth J. F. Rational Expectations and the Theory of Price Movements. Econometrica. 29:1961;315-335.
19. Pigou A. C. Industrial Fluctuations. 1929;Macmillan, London.
20. Rozanov Y. Stationary Random Processes. 1967;Holden-Day, San Francisco.
21. Sargent T. J. Equilibrium with Signal Extraction from Endogenous Variables. Journal of Economic Dynamics and Control. 15:1991;245-273.
22. Singleton K. J. Asset Prices in a Time-Series Model with Disparately Informed, Competitive Traders. Barnett W. A., Singleton K. J. New Approaches to Monetary Economics. 1987;Cambridge Univ. Press, Cambridge.
23. Stokey N. L., Lucas R. E. Jr. Recursive Methods in Economic Dynamics. 1989;Harvard Univ. Press, Cambridge.
24. Taub B. Aggregate Fluctuations as an Information Transmission Mechanism. Journal of Economic Dynamics and Control. 13:1989;113-150.
25. Townsend R. M. Market Anticipations, Rational Expectations, and Bayesian Analysis. International Economic Review. 19:1978;481-494.
26. Townsend R. M. Forecasting the Forecasts of Others. Journal of Political Economy. 91:1983a;546-588.
27. Townsend R. M. Equilibrium Theory with Learning and Disparate Expectations: Some Issues and Methods. Frydman R., Phelps E. S. Individual Forecasting and Aggregate Outcomes: "Rational Expectations" Examined. 1983b;Cambridge Univ. Press, Cambridge.
28. Whiteman C. H. Linear Rational Expectations Models: A User's Guide. 1983;Univ. of Minnesota Press, Minneapolis.
29. Whiteman C. H. Spectral Utility, Wiener-Hopf Techniques, and Rational Expectations. Journal of Economic Dynamics and Control. 9:1985;225-240.