Skip to main content

Recursive estimation of price expectations in economics

  • Economic Systems
  • Conference paper
  • First Online:
Analysis and Optimization of Systems

Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 28))

  • 143 Accesses

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  • Anderson, T.W., et al. (1969), "Consistent Estimates of the Parameters of a Linear System". Annals of Mathematical Statistics, December.

    Google Scholar 

  • Blanchard, O.J. (1979) "Backward and Forward Looking Solutions for Economies with Rational Expectations", American Economic Review, Vol. 69, No. 2, pp. 114–118.

    Google Scholar 

  • Box, G.E.P., and Jenkins, G.M. (1970). Time Series Analysis, Forecasting and Control. San Francisco; Holden-Day.

    Google Scholar 

  • Carlson, John A. (1977), "A Study of Price Forecasts". Annals of Economic and Social Measurement 6: 27–56.

    Google Scholar 

  • Cooley, T.F. (1976), "A State Space Approach to the Estimation of Price Expectations", Proceedings of the IEEE Conference on Decision and Control.

    Google Scholar 

  • DeCanio, Stephen J. (1979), "Rational Expectations and Learning from Experience". Quarterly Journal of Economics, 93, No. 1, pp.47–57.

    Google Scholar 

  • Lucas, R.E. (1976). "Econometric Policy Evaluation: A Critique." The Phillips Curve and Labor Markets, K. Brunner and A. Meltzer eds, Amsterdam: North-Holland.

    Google Scholar 

  • McGuire, Timothy W. (1976). "Price Change Expectations and the Phillips Curve". The Economics of Price and Wage Controls, K. Brunner and A. Meltzer eds., Carnegie-Rochester Conference Series on Public Policy, Vol. 2 (supplementary series to the Journal of Monetary Economics), Amsterdam: North-Holland, 65–114.

    Google Scholar 

  • Mehra, R.K. (1970). "On the Identification of Variances and Adaptive Kalman Filtering". IEEE Transactions on Automatic Control AC-15: 175–184.

    Google Scholar 

  • — (1971). "On-Line Identification of Linear Dynamic Systems with Applications to Kalman Filtering". IEEE Transactions on Automatic Control AC-16: 12–20.

    Google Scholar 

  • Pagan, Adrian R. (1974). "A Note on the Extraction of Components From Time Series". Econometrica 42: 163–168.

    Google Scholar 

  • Parzen, Emmanuel (1961), "An Approach to Time Series Analysis". The Annals of Mathematical Statistics, December.

    Google Scholar 

  • Pesando, James (1975). "A Note on the Rationality of the Livingston Price Expectations". Journal of Political Economy 83:849–58.

    Google Scholar 

  • Sargent, Thomas J. (1979), Macroeconomic Theory, Academic Press, New York.

    Google Scholar 

  • Shiller, R. (1978), "Rational Expectations and The Dynamic Structure of Macroeconomic Models", Journal of Monetary Economics, 4, January, pp. 1–44.

    Google Scholar 

  • Wall, K. W. (1980), "Generalized Expectations Modelling in Econometrics", Journal of Economic Dynamics and Control.

    Google Scholar 

  • Wallis, Kenneth F. (1980). "Econometric Implications of the Rational Expectations Hypothesis". Econometrica, 48, No. 1.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

A. Bensoussan J. L. Lions

Rights and permissions

Reprints and permissions

Copyright information

© 1980 Springer-Veralg

About this paper

Cite this paper

Cooley, T.F. (1980). Recursive estimation of price expectations in economics. In: Bensoussan, A., Lions, J.L. (eds) Analysis and Optimization of Systems. Lecture Notes in Control and Information Sciences, vol 28. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0004074

Download citation

  • DOI: https://doi.org/10.1007/BFb0004074

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-10472-8

  • Online ISBN: 978-3-540-38489-2

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics