Article ; Online: Looking Backward and Looking Forward
Econometrics, Vol 7, Iss 2, p
2019 Volume 27
Abstract: Filtering has had a profound impact as a device of perceiving information and deriving agent expectations in dynamic economic models. For an abstract economic system, this paper shows that the foundation of applying the filtering method corresponds to ... ...
| Abstract | Filtering has had a profound impact as a device of perceiving information and deriving agent expectations in dynamic economic models. For an abstract economic system, this paper shows that the foundation of applying the filtering method corresponds to the existence of a conditional expectation as an equilibrium process. Agent-based rational behavior of looking backward and looking forward is generalized to a conditional expectation process where the economic system is approximated by a class of models, which can be represented and estimated without information loss. The proposed framework elucidates the range of applications of a general filtering device and is not limited to a particular model class such as rational expectations. |
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| Keywords | perception ; filter ; rational expectations ; estimation ; Economics as a science ; HB71-74 |
| Language | English |
| Publishing date | 2019-06-01T00:00:00Z |
| Publisher | MDPI AG |
| Document type | Article ; Online |
| Database | BASE - Bielefeld Academic Search Engine (life sciences selection) |
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