Full Information Estimation and Stochastic Simulation of Models with Rational Expectations

A computationally feasible method for the full information maximum likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconomic models.

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Year of publication:	1989-08
Authors:	Fair, Ray C. ; Taylor, John B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Stochastic simulation \| rational expectations \| maximum likelihood \| macroeconomic model

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 764. Published in Journal of Applied Econometrics (1990), 5: 381-392 The price is None Number 921 22 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005762706