On the mechanics of forming and estimating dynamic linear economies
AbstractThis 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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Bibliographic InfoPaper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 198.
Date of creation: 1995
Date of revision:
Publication status: Published in Handbook of Computational Economics (1996)
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