Most rational expectations models involve equations in which the dependent variable is a function of its lags and its expected future value. We investigate the asymptotic bias of generalized method of moment (GMM) and maximum likelihood (ML) estimators in such models under misspecification. We...

We estimate two small macroeconomic models with forward-looking components, for the US and Germany. The models, which include a Phillips curve, an I-S curve and a monetary policy rule, are estimated using the full-information maximum-likelihood procedure. They are shown to have some robustness...