1984 Lars Peter Hansen and Kenneth J. Singleton "Generalized IV Estimation of Nonlinear R E Models" скачать в хорошем качестве

1984 Lars Peter Hansen and Kenneth J. Singleton "Generalized IV Estimation of Nonlinear R E Models"

Lars Peter Hansen & Kenneth J. Singleton “Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models” How do you estimate a model in which expectations about the future determine behavior today? By the early 1980s, rational expectations had transformed macroeconomic theory. Households and firms were assumed to form expectations consistent with the model itself. But this created a practical challenge: how could such forward-looking models be estimated without solving the entire dynamic system explicitly? Hansen and Singleton provided a breakthrough. They showed how to estimate nonlinear rational expectations models using generalized instrumental variables methods. Instead of requiring full solution of the model, they exploited the orthogonality conditions implied by optimal decision-making under rational expectations. Their approach allowed researchers to test and estimate intertemporal consumption and asset pricing models directly from Euler equations. This was computationally feasible and theoretically disciplined. The implications were enormous. Rational expectations models were no longer purely theoretical constructs — they became empirically testable. Asset pricing, macroeconomics, and consumption theory could now be evaluated using coherent econometric tools. The 1984 Frisch Medal recognized a methodological advance that reshaped macroeconometrics. Hansen and Singleton did not merely estimate a model — they provided a general framework that would underpin decades of empirical research. From this point forward, dynamic optimization and empirical estimation became inseparable.