Asymptotic and Small-Sample Properties of the Fixpoint-Estimator for Rational Expectations Models

摘要: The extension of WOLD’s distribution free fixpoint-(FP-) estimation principle to simultaneous systems, which contain rational expectations variables, has been shown be a very powerful technique especially with respect econometric system predictions. FP-estimator is introduced and its asymptotic properties (consistency, distribution) are presented. Furthermore, EFRON’s bootstrap TUKEY’s jackknife available assess the variability estimates. A brief review idea in context considered model will given. An application presented techniques illustrated an example.