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Looking Backward and Looking Forward

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Gao, Zhengyuan [UCL] Hafner, Christian [UCL]

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.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès libre
Publication date 2019
Language Anglais
Journal information "Econometrics" - Vol. 7, no.2, p. article 27 (2019)
Peer reviewed yes
Publisher MDPI AG
e-issn 2225-1146
Publication status Publié
Affiliations UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords perception ; filter ; rational expectations ; estimation
Links
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Bibliographic reference Gao, Zhengyuan ; Hafner, Christian. Looking Backward and Looking Forward. In: Econometrics, Vol. 7, no.2, p. article 27 (2019)
Permanent URL http://hdl.handle.net/2078.1/218030