2
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Convenience: The Mother of All Rationality in Sargent

Pages 3-34 | Published online: 04 Nov 2015

References

  • Anderson, P. A. “Help for the Regional Economic Forecaster: Vector Autoregression.” Federal Reserve Bank of Minneapolis Quarterly Review, 1979, 3 (3), 2–7.
  • Bartlett, M. S. Stochastic Processes. Cambridge: Cambridge University Press, 1966.
  • Bellman, R. E. Dynamic Programming. Princeton, NJ: Princeton University Press, 1957.
  • Bellman, R. E., and Dreyfus, S. E. Applied Dynamic Programming. Princeton, NJ: Princeton University Press, 1962.
  • Box, G. E. P.; Jenkins, G. M.; and Reinsel, G. C. Time Series Analysis. Englewood Cliffs, NJ: Prentice-Hall, 1994.
  • Brillinger, D. R. Time Series: Data Analysis and Theory. New York: Holt, Rinehart, and Winston, 1975.
  • Cooper, J. P., and Nelson, C. R. “The Ex Ante Prediction Performance of the St. Louis and FRB-MIT-PENN Econometric Models and Some Results on Composite Predictors.” Journal of Money, Credit, and Banking, 1975, 7 (1), 1–32.
  • Davidson, P. “Rational Expectations: A Fallacious Foundation for Studying Crucial Decision-Making Processes.” Journal of Post Keynesian Economics, 1982-83, 5 (2), 182–207.
  • Davidson, P. “A Technical Definition of Uncertainty and the Long-Run Non-Neutrality of Money.” Cambridge Journal of Economics, 1988, 12 (3), 329–337.
  • Davidson, P. “Is Probability Theory Relevant for Uncertainty? A Post Keynesian Perspective.” Journal of Economic Perspectives, 1991, 5 (1), 129–143.
  • Eckstein, O., ed. Parameters and Policies in the U.S. Economy. Amsterdam: North-Holland, 1976.
  • Fleming, W. H., and Rishel, R. W. Deterministic and Stochastic Optimal Control. Berlin: Springer-Verlag, 1975.
  • Gigerenzer, G., et al. The Empire of Chance. Cambridge: Cambridge University Press, 1989.
  • Granger, C. W. J. “Forecasting in Economics.” In N. A. Gershenfeld and A. S. Weigend (eds.), Time Series Prediction: Forecasting the Future and Understanding the Past. Reading, MA: Addison-Wesley, 1994, pp. 529–538.
  • Granger, C. W. J., and Teräsvirta, T. Modeling Nonlinear Economic Relationships. Oxford: Oxford University Press, 1993.
  • Hansen, L. P., and Hodrick, R. J. “Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis.” Journal of Political Economy, 1980, 88 (5), 829–853.
  • Hansen, L. P., and Sargent, T. J. “Formulating and Estimating Dynamic Linear Expectations Models.” In R. E. Lucas and T. J. Sargent (eds.), Rational Expectations and Econometric Practice. Minneapolis: University of Minnesota Press, 1981, pp. 91–125. [ Reprinted from Journal of Economic Dynamics and Control, 1980, 2 (1), 7–46.]
  • Hansen, L. P., and Sargent, T. J. “Linear Rational Expectations Models for Dynamically Interrelated Variables.” In R. E. Lucas and T. J. Sargent (eds.), Rational Expectations and Econometric Practice. Minneapolis: University of Minnesota Press, 1981a, pp. 127–156.
  • Hansen, L. P., and Sargent, T. J. “A Note on Wiener-Kolmogorov Prediction Formulas for Rational Expectations Models.” Economics Letters, 1981b, 8 (3), 255–260.
  • Hansen, L. P., and Sargent, T. J. “Instrumental Variables Procedures for Estimating Linear Rational Expectations Models.” Journal of Monetary Economics, 1982, 9 (3), 263–296.
  • Hansen, L. P., and Sargent, T. J. “The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities.” Econometrica, 1983, 51 (2), 377–387.
  • Hansen, L. P., and Sargent, T. J. “Recursive Linear Models of Dynamic Economies.” National Bureau of Economic Research Working Paper no. 3479, 1980.
  • Hansen, L. P., and Sargent, T. J. “Introduction.” In L. P. Hansen and T. J. Sargent (eds.), Rational Expectations Econometrics. Boulder, CO: Westview Press, 1991a, pp. 1–12.
  • Hansen, L. P., and Sargent, T. J. “Exact Linear Expectations Models: Specification and Estimation.” In L. P. Hansen and T. J. Sargent (eds.), Rational Expectations Econometrics. Boulder, CO: Westview Press, 1991b, pp. 45–76.
  • Hansen, L. P., and Sargent, T. J. “Two Difficulties in Interpreting Vector Autoregressions.” In L. P. Hansen and T. J. Sargent (eds.), Rational Expectations Econometrics. Boulder, CO: Westview Press, 1991c, pp. 77–120.
  • Hansen, L. P., and Sargent, T. J. “Recursive Linear Models of Dynamic Economies.” Unpublished manuscript. Stanford University, Hoover Institution, 1991d.
  • Hickman, B. G., ed. Econometric Models of Cyclical Behavior. New York: Columbia University Press, 1972.
  • Holt, C. C.; Modigliani, F.; Muth, J. F., and Simon, H. A. Planning Production, Inventories, and Work Force. Englewood Cliffs, NJ: Prentice-Hall, 1960.
  • Kalman, R. E. “A New Approach to Linear Filtering and Prediction Problems.” Journal of Basic Engineering, March 1960, 82, 35–45.
  • Kalman, R. E., and Koepcke, R. W. “The Role of Digital Computers in the Dynamic Optimization of Chemical Reactors.” Proceedings of the Western Joint Computer Conference, 1959, pp. 107–116.
  • Klamer, A. Conversations with Economists’. Savage. Totowa, NJ: Rowman and Littlefield, 1983.
  • Klein, J. L. “A Funny Thing Happened on the Way to Equilibrium: The Interplay of Economic Theory and Time Series Analysis from 1890 to 1938.” Manuscript presented at the ASSA meetings, 1995.
  • Litterman, R. B. “Techniques of Forecasting Using Vector Autoregressions.” Federal Reserve Bank of Minneapolis, Minnesota Research Department Working paper no. 115, 1979.
  • Lucas, R. E. “Econometric Testing of the Natural Rate Hypothesis.” In Z. Eckstein (ed.), The Econometrics of Price Determination Conference. Washington, DC: Board of Governors of the Federal Reserve System, 1972b.
  • Lucas, R. E. “Econometric Policy Evaluation: A Critique.” In K. Brunner and A. H. Meltzer (eds.), The Phillips Curve and Labor Markets. Carnegie-Rochester Conference Series on Public Policy, vol. 1. Amsterdam: North-Holland, 1976, pp. 19–46.
  • Lucas, R. E., and Sargent, T. J. “After Keynesian Macroeconomics.” Federal Reserve Bank of Minneapolis Quarterly Review, 1979, 3 (2), 1–16.
  • Lucas, R. E., and Sargent, T. J. “Introduction.” In R. E. Lucas and T. J. Sargent (eds.), Rational Expectations and Econometric Practice. Minneapolis: University of Minnesota Press, 1981, pp. xi–xl.
  • Monfort, A., and Rabemananjara, R. “From a VAR to a Structural Model, with an Application to the Wage-Price Spiral.” Journal of Applied Econometrics, 1990, 5, 203–228.
  • Muth, J. F. “Optimal Properties of Exponentially Weighted Forecasts.” Journal of the American Statistical Association, 1960, 55 (290), 299–306.
  • Muth, J. F. “Rational Expectations and the Theory of Price Movements.” Econometrica, 1961, 29 (3), 315–335.
  • Nelson, C. R. “The Prediction Performance of the FRB-MIT-Penn Model of the U.S. Economy.” American Economic Review, 1972, 62 (5), 902–917.
  • Nerlove, M. L. “Distributed Lags and Unobserved Components in Economic Time Series.” In W. J. Fellner (ed.), Ten Economic Studies in the Tradition of Irving Fisher. New York: Wiley, 1967.
  • Newton, G. C. “Compensation of Feedback Control Systems Subject to Saturation.” J. Franklin Institute, 1952, 254, 281–286, 391–413.
  • Newton, G. C.; Gould, L. A., and Kaiser, J. F. Analytical Design of Linear Feedback Controls. New York: Wiley, 1957.
  • Pesaran, M. H., and Smith, R. “The Interaction between Theory and Observation in Economics.” Economic and Social Review, 1992, 24 (1), 1–23.
  • Priestly, M. B.; Rao, T. S., and Tong, H. “Applications of Principal Components and Factor Analysis in the Identification of Multi-variable Systems.” IEEE Transactions on Automatic Control, 1974, AC–19 (6), 730–734.
  • Rizvi, S. A. T. “Game Theory to the Rescue?” Contributions to Political Economy, 1994, 13, 1–28.
  • Salemi, M. K., and Sargent, T. J. “The Demand for Money during Hyperinflation under Rational Expectations: II.” International Economic Review, 1979, 20 (3), 741–758.
  • Sargent, T. J. “A Note on the ‘Accelerationis’ Controversy.” In R. E. Lucas and T. J. Sargent (eds.), Rational Expectations and Econometric Practice. Minneapolis: University of Minnesota Press, 1981, pp. 33–38. [ Reprinted from Journal of Money, Credit, and Banking, 1971, 3 (3), 721–725.]
  • Sargent, T. J. “The Observational Equivalence of Natural and Unnatural Rate Theories of Macroeconomics.” Journal of Political Economy, 1976, 86 (6), 1009–1044. [ Reprinted in R.E. Lucas and T.J. Sargent (eds.), Rational Expectations and Econometric Practice. Minneapolis: University of Minnesota Press, 1981, pp. 553–562.]
  • Sargent, T. J. “The Demand for Money during Hyperinflations under Rational Expectations: I.” International Economic Review, 1977a, 18 (1), 59–82. [ Reprinted in R.E. Lucas and T.J. Sargent (eds.), Rational Expectations and Econometric Practice. Minneapolis: University of Minnesota Press, 1981, pp. 429–452.]
  • Sargent, T. J. “Response to Gordon and Ando.” In C. A. Sims (ed.), New Methods in Business Cycle Research: Proceedings from a Conference. Federal Reserve Bank of Minneapolis, 1977b, pp. 213–217.
  • Sargent, T. J. “Estimation of Dynamic Labor Demand Schedules under Rational Expectations.” Journal of Political Economy, 1978, 84 (2), 207–237. [ Reprinted in R.E. Lucas and T.J. Sargent (eds.), Rational Expectations and Econometric Practice. Minneapolis: University of Minnesota Press, 1981, pp. 463–500.]
  • Sargent, T. J. “Estimating Vector Autoregressions Using Methods not Based on Explicit Economic Theories.” Federal Reserve Bank of Minneapolis Quarterly Review, 1979, 3 (3), 8–15.
  • Sargent, T. J. “Interpreting Economic Time Series.” Journal of Political Economy, 1981, 89 (2), 213–248.
  • Sargent, T. J. “An Economist’s Foreword to Prediction and Regulation by Linear Least-Square Methods.” In P. Whittle, Prediction and Regulation by Linear Least-Square Methods, 2d rev. ed. Minneapolis: University of Minnesota Press, 1983, pp. v–vii.
  • Sargent, T. J. Macroeconomic Theory, 2d ed. Boston: Academic Press, 1987a.
  • Sargent, T. J. Dynamic Macroeconomic Theory. Cambridge, MA: Harvard University Press, 1987b.
  • Sargent, T. J. “Linear Optimal Control, Filtering, and Rational Expectations.” Unpublished manuscript. Stanford University, Hoover Institution, 1988.
  • Sargent, T. J. “Review of Game Theory and Economic Modeling” by D. M. Kreps. Journal of Political Economy, 1992, 100 (3), 665–672.
  • Sargent, T. J. Bounded Rationality in Macroeconomics. Oxford: Oxford University Press, 1993.
  • Sargent, T. J., and Sims, C. A. “Business Cycle Modeling without Pretending to Have Too Much A Priori Theory.” In C. A. Sims (ed.), New Methods in Business Cycle Research: Proceedings from a Conference. Federal Reserve Bank of Minneapolis, 1977, pp. 45–109.
  • Sent, E.-M. Resisting Sargent. Cambridge: Cambridge University Press, forthcoming.
  • Shiller, R. J. “The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure.” Journal of Political Economy, 1979, 87 (6), 1190–1219.
  • Simon, H. A. “Dynamic Programming under Uncertainty with a Quadratic Objective Function.” Econometrica, 1956, 24 (1), 74–81.
  • Simon, H. A. Models of Bounded Rationality, vol. 1. Cambridge, MA: MIT Press, 1982.
  • Simon, H. A. Models of My Life. New York: Basic Books, 1991.
  • Sims, C. A. “Discrete Approximations to Continuous Time Lag Distributions in Econometrics.” Econometrica, 1971, 39, 545–564.
  • Sims, C. A. “Macroeconomics and Reality.” Econometrica, 1980, 48 (1), 1–45.
  • Sober, E. “Temporally Oriented Laws.” Synthese, 1993, 94 (2), 171–189.
  • Trèviño, G. “An Heuristic Overview of Nonstationarity.” In A. G. Miamee (ed.), Non-stationary Stochastic Processes and Their Applications. Singapore: World Scientific, 1992, pp. 8–61.
  • Whittle, P. Prediction and Regulation by Linear Least-Square Methods, 2d rev. ed. Minneapolis: University of Minnesota Press, 1983.
  • Wiener, N. Extrapolation, Interpolation, and Smoothing of Stationary Time Series. Cambridge, MA: MIT Press, 1964.
  • Wold, H. A Study in the Analysis of Stationary Time Series. Stockholm: Almqvist and Wiksell, 1938.
  • Yaglom, A. M. An Introduction to the Theory of Stationary Random Functions. Englewood Cliffs, NJ: Prentice-Hall, 1962.
  • Zellner, A., and Palm, F. “Time Series Analysis and Simultaneous Equation Models.” Journal of Econometrics, 1974, 2 (1), 17–54.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.