Pesaran, M Hashem - In: Empirical Economics 16 (1991) 2, pp. 211-32
This paper extends the results obtained by Pagan (1984) and Turkington (1985) for single equation rational expectations (RE) models to multivariate RE models and shows that the errors-in-variables method and the substitution method discussed in Wickens (1982) lead to exactly the same likelihood...