A note on the estimation of limited dependent variable models under rational expectations

In this paper we derive the expressions for the expected price in a disequilibrium model with upper and lower limits on prices under rational expectation, relaxing the assumption of perfect foresight made in earlier studies. We prove the uniqueness of the solution to the rational expectations model...

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Bibliographic Details
Published in:Economics letters 1992, Vol.38 (1), p.17-23
Main Authors: Donald, Stephen G., Maddala, G.S.
Format: Article
Language:English
Subjects:
Rational expectations
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Summary:In this paper we derive the expressions for the expected price in a disequilibrium model with upper and lower limits on prices under rational expectation, relaxing the assumption of perfect foresight made in earlier studies. We prove the uniqueness of the solution to the rational expectations model and outline the estimation method and iterative procedure.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(92)90155-R