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News - or foresight - about future economic fundamentals can create rational expectations equilibria with non-fundamental representations that pose substantial challenges to econometric efforts to recover the structural shocks to which economic agents react. Using tax policies as a leading example of foresight, simple theory makes transparent the economic behavior and information structures that generate non-fundamental equilibria. Econometric analyses that fail to model foresight will obtain biased estimates of output multipliers for taxes; biases are quantitatively important when two canonical theoretical models are taken as data generating processes. Both the nature of equilibria and the inferences about the effects of anticipated tax changes hinge critically on hypothesized information flows. Different methods for extracting or hypothesizing the information flows are discussed and shown to be alternative techniques for resolving a non-uniqueness problem endemic to moving average representations.

Taxation. --- Fiscal policy. --- Information theory in economics. --- Economic cybernetics --- Econometrics --- Tax policy --- Taxation --- Economic policy --- Finance, Public --- Duties --- Fee system (Taxation) --- Tax reform --- Taxation, Incidence of --- Taxes --- Revenue --- Government policy --- Investments: Bonds --- Public Finance --- Fiscal Policy --- Fiscal Policies and Behavior of Economic Agents: General --- General Financial Markets: General (includes Measurement and Data) --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- National Government Expenditures and Related Policies: General --- Personal Income and Other Nonbusiness Taxes and Subsidies --- Tax Law --- Investment & securities --- Econometrics & economic statistics --- Public finance & taxation --- Welfare & benefit systems --- Macroeconomics --- Taxation & duties law --- Municipal bonds --- Vector autoregression --- Expenditure --- Labor taxes --- Fiscal policy --- Financial institutions --- Econometric analysis --- Tax law --- Bonds --- Expenditures, Public --- Income tax --- Law and legislation --- United States