On the 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 apply these methods to several example economies.

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Year of publication:	1995
Authors:	Anderson, Evan W. ; Hansen, Lars Peter ; McGrattan, Ellen R. ; Sargent, Thomas J.
Institutions:	Federal Reserve Bank of Minneapolis
Subject:	Econometric models

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Extent:	application/postscript
Series:	Staff Report.
Type of publication:	Book / Working Paper
Notes:	Published in Handbook of Computational Economics (1996) Number 198
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005498544