A Structural Analysis of Expectation Formation: Based on Business Surveys of French Manufacturing Industry

ISBN-13: 9783540536659 / Angielski / Miękka / 1991 / 230 str.

Marc Ivaldi

Opis

Using panel data of individual firms drawn from French surveys, a structural analysis is developed to study the formation of production plans and the rationality of expectations. The production decision of a firm is defined as the optimal solution of a dynamic stochastic optimization problem. The empirical work amounts to recovering the structural parameters characterizing the model of the firm from estimates of the derived decision rule. The preceding analysis of production plans is based on the assumption that firms are rational. To justify this assumption, direct tests offer evidence that the Rational Expectations Hypothesis may not be rejected for quantity variables.

Spis treści

1 Economic Issues and Business Surveys.- 2 Survey of Contents.- Appendix: The INSEE Business-Test Questionnaire.- One Forecasting Production Behavior in the Short-Run.- 1: The Production Smoothing Model.- 1.1 Variations around a Paradigm.- 1.2 The Production Plan of a Rational Firm.- 1.2.1 The Firm’s Optimization Program.- 1.2.2 The Optimal Control Equation.- Appendix: Signs of the Changes of Net Inventories.- 2: The Econometric Specification Using Survey Data.- 2.1 Outline of the Basic Equations.- 2.1.1 The Structural Equations.- 2.1.2 The Measurement Equations.- 2.2 An Identifiable Specification.- 2.2.1 Identification.- 2.2.2 The Complete Model.- 2.3 Discussion of the Overall Model.- 2.4 The Set of Indicator Variables.- 2.5 Summary.- Appendix: An Empirical Study of Inventory and Order-backlog Appraisals.- 3: The General Latent Variable Model with Discrete Data.- 3.1 Estimation for the General Latent Variable Model.- 3.2 ML Estimation of the Polychoric Correlation Coefficient.- 3.3 Properties of the Method and Remarks.- Appendix: Probit-Type Models and Survey Data.- 4: The Empirical Analysis and Forecasting.- 4.1 Estimation of the Correlation Matrix.- 4.2 Assessment of the Empirical Results.- 4.3 Recovering the Structural Parameters.- 4.4 Forecasting.- 4.5 Summary and Remarks.- Appendix: Tests and Statistics.- Two Survey Evidence on the Rationality of Expectations.- 5: On Testing the RE Hypothesis: A Survey.- 5.1 Definition and Characterizations.- 5.1.1 Definition.- 5.1.2 Quantitative Data.- 5.1.3 Qualitative Data.- 5.2 Testing the RE Hypothesis in Practice.- 5.2.1 Quantitative Data.- 5.2.2 Qualitative Data.- 5.3 Summary.- 6: Surprise Variables and Expectational Errors.- 6.1 A Test of the REH based on the Theory of Markov Chains.- 6.2 Analysis of the Latent Surprise Variable.- 7: Direct Tests of the Rational Expectation Hypothesis.- 7.1 Direct Inspection of the Contingency Tables.- 7.2 A Test Based on a Latent Variable Model.- 7.3 Application: Demand, Production, Prices.- 7.3.1 REH Tests for the Demand Variable.- 7.3.2 REH Tests for the Production Variable.- 7.3.3 The Price Variable.- 7.3.4 A Comment on the Test and Remarks.- 7.4 A Test of Efficiency of Demand Expectations.- 7.4.1 Model Specification.- 7.4.2 Estimation Results.- 7.5 Summary.- Conclusion.- References.