Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189405 
Year of Publication: 
2007
Series/Report no.: 
Queen's Economics Department Working Paper No. 1129
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
Estimating linear rational expectations models requires replacing the expectations of future, endogenous variables either with forecasts from a fully solved model, or with the instrumented actual values, or with forecast survey data. Extending the methods of McCallum (1976) and Gottfries and Persson (1988), I show how to pool these methods and also use actual, future values of these variables to improve statistical efficiency. The method is illustrated with an application using SPF survey data in the US Phillips curve, where the output gap plays a significant role but lagged inflation plays none.
Subjects: 
rational expectations
recursive projection
Phillips curve
JEL: 
E37
C53
Document Type: 
Working Paper

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