出版社：Dep. of Statistical Sciences "Paolo Fortunati", Università di Bologna
摘要：This paper extends the existing literature on linear quadratic adjustment cost (LQAC) models under rational expectations to the inferential issue arising when: (I) agents optimize with respect to a vector of endogenous variables; (II) the behavioral equation stemming from the agent's optimization problem are specified as 'exact' rational expectations models; (III) the stochastic processes involved are integrated of order one. We focus on estimation in e 'full-information' framework, and the key assumption is that agents compute expectations through a cointegrated VAR (CVAR) for the observable variables.
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