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Thomas J. Sargent
The positive part of Lucas's critique was to urge applied macroeconomists and econometricians to develop ways to implement those cross equation restrictions.
Thomas J. Sargent
The first and most optimistic response was complete rational expectations econometrics. A rational expectations equilibrium is a likelihood function. Maximize it.
Thomas J. Sargent
Somehow, calibration was intended as a balanced response to professing that your model, though not correct, is still worthy as a vehicle for quantitative policy analysis.
Thomas J. Sargent
Lucas attended a conference on rational expectations at the University of Minnesota in the spring of 1973. The day after the conference, I received a call from Pittsburgh.
Thomas J. Sargent
In the 1980s, there were occasions when it made sense to say, 'it is too difficult to maximize the likelihood function, and besides if we do, it will blow our model out of the water.'
Thomas J. Sargent
I like the Gallant-Tauchen idea of using moment conditions from the first-order conditions for maximizing the likelihood function of a well fitting auxiliary model whose likelihood function is easy to write down.
Thomas J. Sargent
Creating dynamic equilibrium macro theories and building a time series econometrics suitable for estimating them were both big tasks.
Thomas J. Sargent
Calibration is less optimistic about what your theory can accomplish because you'd only use it if you didn't fully trust your entire model, meaning that you think your model is partly misspecified or incompletely specified, or if you trusted someone else's model and data set more than your own.
Milton R. Sapirstein
To observe people in conflict is a necessary part of a child's education. It helps him to understand and accept his own occasional hostilities and to realize that differing opinions need not imply an absence of love.
Milton R. Sapirstein
The ideal mother, like the ideal marriage, is a fiction.