Solution of linear-quadratic- Gaussian dynamic games using variational methods

Methods are presented for solving a certain class of rational expectations models, principally those that arise from dynamic games. The methods allow for numerical solution using spectral factorization algorithms and for estimation of these models using maximum likelihood techniques.

MoreLess

Year of publication:	1986
Authors:	Roberds, William
Institutions:	Federal Reserve Bank of Minneapolis
Subject:	Rational expectations (Economic theory) \| Game theory

More details

Extent:	application/pdf
Series:	Staff Report.
Type of publication:	Book / Working Paper
Notes:	Number 105
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005367748