Mechanics of forming and estimating dynamic linear economies

This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a Gaussian likelihood function and its gradient with respect to parameters. We display an application to Rosen, Murphy, and Scheinkman's (1994) model of cattle cycles.

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Year of publication:	1994
Authors:	Hansen, Lars Peter ; McGrattan, Ellen R. ; Sargent, Thomas J.
Institutions:	Federal Reserve Bank of Minneapolis
Subject:	Econometric models

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Extent:	application/pdf
Series:	Staff Report.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 182
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005712291