Seasonality and approximation errors in rational expectations models
Journal of EconometricsPublished 1 January 1993
Lars Peter Hansen, Thomas J. Sargent
Citations131
SJR quartileQ1
SJR score12.17
SNIP4.85
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Abstract
A frequency domain representation of the approximation criterion that is implicit in Gaussian maximum likelihood estimation is applied to study the effects of using seasonally adjusted versus seasonally unadjusted data to estimate rational expectations models. Three classes of economic mechanisms for generating seasonality are described. Approximating parameter estimates are computed numerically for several examples.
Keywords
Economics, Econometrics and Finance
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