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Author:Anderson, Paul A. 

Journal Article
Rational expectations: how important for econometric policy analysis?

Quarterly Review , Volume 2 , Issue Fall

Journal Article
Help for the regional economic forecaster: vector autoregression

Quarterly Review , Volume 3 , Issue Sum

Report
Improving econometric forecasts by using subperiod data

The method proposed here includes two innovations which should improve the accuracy of econometric forecasting. First, it replaces the subjective, judgmental adjustments commonly used with a more formal, objective econometric procedure. Second, it includes a methodology for testing the usefulness of subperiod data which forecasters often inspect when choosing intercept adjustments. A sample application to the MIT-Penn-SSRC Model demonstrates that the procedure is both feasible and potentially helpful in the context of a large macroeconometric model.
Staff Report , Paper 21

Report
Rational expectations and policy evaluation in macroeconometric models

Staff Report , Paper 31

Report
Rational expectations forecasts from nonrational models

This paper puts forward a method of policy simulation with an existing macroeconometric model under the maintained assumption that individuals form their expectations rationally. This new simulation technique grows out of Lucas? criticism that standard econometric policy evaluation permits policy rules to change but doesn?t allow expectations mechanisms to respond as economic theory predicts they will. The technique is applied to versions of the St. Louis Federal Reserve model and the Federal Reserve-MIT-Penn (FMP) model to simulate the effects of different constant money growth policies. The ...
Staff Report , Paper 19

Working Paper
A test of the exogeneity of national variables in a regional econometric model

Many regional econometric models are estimated under the maintained assumption that certain national variables are exogenous with respect to the regional variables in the models. This exogeneity assumption is testable using time series methods of inference, yet, to my knowledge, no regional model has been so tested. In this paper, I test the national exogeneity assumption included in the specification of a particular regional forecasting model. Such a test is, I believe, a necessary and important step in the construction of any econometric model.
Working Papers , Paper 124

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