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 macroeconometric models

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Year of publication:	[2021]
Authors:	Fair, Ray C. ; Taylor, John B.
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Rationale Erwartung \| Rational expectations \| Simulation

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Extent:	1 Online-Ressource (24 p)
Series:	NBER Working Paper ; No. t0078
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 1991 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013238973