Seasonality and approximation errors in rational expectations models

Lars Peter Hansen; Thomas J. Sargent

doi:10.1016/0304-4076(93)90003-N

Seasonality and approximation errors in rational expectations models

Lars Peter Hansen, Thomas J. Sargent

Research output: Contribution to journal › Article › peer-review

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.

Original language	English (US)
Pages (from-to)	21-55
Number of pages	35
Journal	Journal of Econometrics
Volume	55
Issue number	1-2
DOIs	https://doi.org/10.1016/0304-4076(93)90003-N
State	Published - 1993

ASJC Scopus subject areas

Economics and Econometrics

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title = "Seasonality and approximation errors in rational expectations models",

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.",

author = "Hansen, {Lars Peter} and Sargent, {Thomas J.}",

note = "Funding Information: *Research for this paper was supported by grants to each of the authors from the National Science Foundation. We are grateful to Clark Burdick for research assistance and helpful criticism, and to Eric Ghysels and Alex Taber for very helpful comments on earlier drafts. Copyright: Copyright 2014 Elsevier B.V., All rights reserved.",

year = "1993",

doi = "10.1016/0304-4076(93)90003-N",

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AU - Sargent, Thomas J.

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PY - 1993

Y1 - 1993

N2 - 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.

AB - 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.

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Seasonality and approximation errors in rational expectations models

Abstract

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