Econ Papers Daily / 期刊论文
非周期时间域上理性预期模型的求解
Solving rational expectations models on non-periodic time domains
摘要
Several economically relevant events, such as policy interventions or nominal adjustments, occur at irregular intervals. This paper extends the martingale difference reduction technique to multivariate rational expectations (RE) models on non-periodic time domains. We establish an invariance property showing that, under constant parameters, the recursive solution structure depends on the ordering of events rather than their calendar spacing. Standard likelihood-based estimation therefore applies without modification to irregularly timed observations. We also characterize equilibrium multiplicity by distinguishing components associated with arbitrary initial conditions and non-fundamental forecast errors. Monte Carlo evidence illustrates these results and shows that interpolation onto a regular grid can introduce substantial bias and distort inference.
中文摘要
若干与经济相关的重大事件，如政策干预或名义调整，往往在不规则的时间间隔内发生。本文将对鞅差缩减技术扩展到非周期时间域上的多元理性预期（RE）模型中。我们确立了一个不变性性质，表明在参数恒定的情况下，递归解的结构取决于事件的顺序而非其日历间隔。因此，基于似然的标准估计方法无需修改即可适用于不规则时间观测数据。我们还通过区分与任意初始条件及非基本面预测误差相关的组成部分，刻画了均衡多重性。蒙特卡洛证据验证了这些结果，并表明将数据插值到规则网格上可能引入显著偏差，扭曲推断结果。