{"title":"Estimation of the Rigidity and Expectational Model","authors":"S. Lu, Shiyu Xie, Takao Ito","doi":"10.1109/NCM.2009.148","DOIUrl":null,"url":null,"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.","PeriodicalId":119669,"journal":{"name":"2009 Fifth International Joint Conference on INC, IMS and IDC","volume":"20 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2009 Fifth International Joint Conference on INC, IMS and IDC","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/NCM.2009.148","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
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.
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