The Estimation of "Surprise" Models and the "Surprise" Consumption Function
提出一种估计包含“新闻”或“惊喜”且预期是理性形成的模型的方法，并将其应用于扩展的Hall随机游走消费模型，发现扩展模型能更好地拟合数据，但理性预期假设下的参数约束被数据轻微拒绝。
In the first part of the paper we outline a method for estimating a class of models in which "news" or "surprises" appear and expectations are formed rationally. The method is an extension of the "errors-in-variables" method of McCallum and Wickens. As a by-product some of Pagan's results on the circumstances under which the commonly used "two-step" method of estimating "surprise" models is efficient are shown to be a consequence of well-known theorems on the efficiency of sub-system estimation when a subset of equations are exactly identified. In the second part of the paper the method is applied to Hall's random-walk model of consumption, which is extended to allow for stochastic interest rates and for leisure and government spending to be substitutes for private spending. The extended formulation is a great deal more successful at capturing the salient features of the data. We also derive approximate restrictions across the parameters of the model due to the rational expectations hypothesis but find that they are marginally rejected by the data. Finally, we evaluate the ability of the life-cycle with rational expectations model to encompass alternative models.