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Modelling with Et[Y(t+1)]
Posted: Tue Nov 17, 2015 10:58 am
by diogoretti
I need to estimate the following equation, to estimate ρ:
Yt = ρY(t-1)+(1-ρ)Et[Y(t+1)] + εt
Can someone help me with the code?
Tks!
Re: Modelling with Et[Y(t+1)]
Posted: Tue Nov 17, 2015 12:17 pm
by startz
Use Y_(t+1) on the right and instrument for it.
Re: Modelling with Et[Y(t+1)]
Posted: Tue Nov 17, 2015 1:16 pm
by diogoretti
startz,
Thank you, but can you be more specific? I'm a newbie.
Re: Modelling with Et[Y(t+1)]
Posted: Tue Nov 17, 2015 1:57 pm
by startz
where x is a variable correlated with y_(t+1) but not with the error in the equation nor the forecast error in y_(t+1).