Title :
Estimation of the Rigidity and Expectational Model
Author :
Lu, Shu Quan ; Xie, Shiyu ; Ito, Takao
Author_Institution :
Sch. of Econ., Fudan Univ., Shanghai, China
Abstract :
The rigidity and expectational model is one of the geometric lag models which may cause problems of parameters estimation. In order to consistently estimate the model´s parameters in the ML approach, we propose an easy-to-compute procedure. This new procedure makes the polynomials in the lag operator to be fractionally integrated. A parsimonious model will be obtained when this proposed procedure is applied. And it also will be applied to very general specifications of the error term. In this paper, we employ this new procedure to analyze U.S. consumption function, and then we discuss some interesting results.
Keywords :
geometry; maximum likelihood estimation; stock markets; U.S. consumption function; economic decisions; expectational model; geometric lag models; maximum likelihood approach; parameters estimation; parsimonious model; rigidity model; stock market; Economic indicators; Educational institutions; Indium tin oxide; Maximum likelihood estimation; Parameter estimation; Polynomials; Psychology; Solid modeling; Stock markets; Yttrium; Fractionally Integrated Procedure; Geometric Lag; Maximum Likelihood;
Conference_Titel :
INC, IMS and IDC, 2009. NCM '09. Fifth International Joint Conference on
Conference_Location :
Seoul
Print_ISBN :
978-1-4244-5209-5
Electronic_ISBN :
978-0-7695-3769-6
DOI :
10.1109/NCM.2009.148
