CFDP 921
Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
Author(s):Publication Date: August 1989
Pages: 22
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 macroeconomic models.
Keywords:
Stochastic simulation, raitonal expectations, maximum likelihood, macroeconomic model
JEL Classification Codes: 211, 132
See CFP: 764