A Structural Analysis of Expectation Formation

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.