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    The Exact Theoretical Rational Expectations Monetary Aggregate

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    Issue Date
    2000-06-01
    Author
    Barnett, William A.
    Hinich, Melvin J.
    Yue, Piyu
    Publisher
    Cambridge University Press
    Type
    Article
    Article Version
    Scholarly/refereed, author accepted manuscript
    Published Version
    http://journals.cambridge.org/action/displayFulltext?type=1&fid=51748&jid=MDY&volumeId=4&issueId=02&aid=51747&bodyId=&membershipNumber=&societyETOCSession=
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    Abstract
    In aggregation theory, index numbers are judged relative to their ability to track the exact aggregator functions nested within the economy's structure. We compare two statistical index numbers—the Divisia monetary aggregate and the simple-sum monetary aggregate—with the exact rational expectations monetary aggregate, using actual data. Because we are not using simulated data, we estimate the parameters of the Euler equations, and thereby of the nested monetary aggregator function, using the generalized method of moments. We explore the tracking errors of the two index numbers relative to the estimated exact aggregate. We investigate the circumstances under which risk aversion increases tracking error. We also use polyspectral methods to test for the existence of remaining nonlinear structure in the residual tracking errors.
    Description
    This is the author's accepted manuscript. the original published version may be found at: http://journals.cambridge.org/action/displayFulltext?type=1&fid=51748&jid=MDY&volumeId=4&issueId=02&aid=51747&bodyId=&membershipNumber=&societyETOCSession=
    URI
    http://hdl.handle.net/1808/13137
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    • Economics Scholarly Works [166]
    • Distinguished Professors Scholarly Works [918]
    Citation
    Barnett, William A., Hinich Melvin J., and Yue Piyu "The Exact Theoretical Rational Expectations Monetary Aggregate," with Melvin Hinich and Piyu Yue, Macroeconomic Dynamics, June 2000, vol 4, no 2, pp. 197-221.

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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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