Full Information Estimation and Stochastic Simulation of Models with Rational Expectations / Ray C. Fair, John B. Taylor.

By:

Fair, Ray C

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Material type: Text

TextSeries: Technical Working Paper Series (National Bureau of Economic Research) ; no. t0078.Publication details: Cambridge, Mass. National Bureau of Economic Research 1991.Description: 1 online resource: illustrations (black and white)Subject(s):

C - Mathematical and Quantitative Methods

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Abstract: 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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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber t0078 (Browse shelf(Opens below))	Not For Loan

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October 1991.

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.