Analysis of Economic Expectation Models within the Framework of Nonlinear Threshold Regression Models

Year 2014, Volume: 69 Issue: 02, 309 - 331, 01.02.2014

Funda Yurdakul Mehmet Özcan

https://doi.org/10.1501/SBFder_0000002313

Abstract

The concept of Expectations is one of the most important developments in the last 50 years of Economic Theory. On the other hand, the popularity of nonlinear modeling techniques used in econometric studies has been increasing. In this study, Adaptive and Rational Expectation models are analyzed within the framework of nonlinear Threshold Regression models, and parameter estimation biases are provided with Monte Carlo simulation techniques. According to the results of this analysis, while the Adaptive Expectations model offers biased parameter estimation values based on nonlinear models, the Rational Expectation model offers unbiased parameter estimation values.

Keywords

Adaptive expectations, rational expectations, nonlinear econometric models, threshold regression models, econometric simulation

Uyarlanmış ve Rasyonel Beklentiler Modellerinin Doğrusal Olmayan Eşik Regresyon Modelleri Çerçevesinde İncelenmesi

Abstract

İktisat teorisinde beklentiler kavramı son 50 yıla damgasını vurmuş önemli gelişmelerden biridir. Diğer taraftan ekonometrik çalışmalarda kullanılan doğrusal olmayan modelleme yöntemlerinin popülerliği de artmış bulunmaktadır. Bu çalışma da, Uyarlanmış ve Rasyonel Beklentiler modelleri doğrusal olmayan Eşik Regresyon Modelleri çerçevesinde incelenmiş ve Monte Carlo simülasyon yöntemi yardımı ile parametre tahminlerindeki sapma değerleri elde edilmiştir. Gerçekleştirilen analizlerin sonucunda, Uyarlanmış Beklentiler modeli doğrusal olmayan modeller ile sapmalı parametre tahmin değerleri verirken, Rasyonel Beklentiler modeli ise sapmasız parametre tahmin değerleri vermiştir.

Keywords

Uyarlanmış beklentiler, rasyonel beklentiler, doğrusal olmayan ekonometrik modeller, eşik regresyon modelleri, ekonometrik simülasyon

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