Some exact and inexact linear rational expectation models in vector autoregressive models

In this paper we consider maximum likelihood estimation in some exact and inexact linear rational expectation (LRE) models. The implications of the two models on the coefficients of the vector autoregressive (VAR) model are spelled out. The inexact version is more complicated and possible simplification of the resulting constrained optimization problem is discussed.

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Year of publication:	2014
Authors:	Swensen, Anders Rygh
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 2, p. 216-219
Publisher:	Elsevier
Subject:	Vector autoregressive models \| Exact rational expectations \| Inexact rational expectations \| Maximum likelihood estimation

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Type of publication:	Article
Classification:	C32 - Time-Series Models ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010906363