Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation

摘要: Abstract The assumption that rational expectations always lie on a convergent path is subject to an empirical test using the German hyperinflation data. estimation technique employs Kalman filtering algorithm. After presenting brief background for problem and derivation of various model specifications, generalized its attendant are discussed. Additional details results then presented. Based normally distributed errors, null hypothesis paths rejected in all situations involving deterministic specification evolution unobserved parameter which characterizes path. same four six cases corresponding stochastic A discussion these findings, their economic significance, suggestions further research concludes paper.