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Full Information Estimation and Stochastic Simulation of Models with Rational Expectations

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Ray C. Fair
John B. Taylor

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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 macroeconometric models.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0078.

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Date of creation: Oct 1991
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Publication status: published as Journal of Applied Econometrics, Vol. 5, pp. 381-392, (1990).
Handle: RePEc:nbr:nberte:0078

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
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  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  3. Fair, Ray C & Taylor, John B, 1983. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 51(4), pages 1169-85, July. [Downloadable!] (restricted)
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  4. King, Stephen R, 1988. "Is Increased Price Flexibility Stabilizing? Comment," American Economic Review, American Economic Association, vol. 78(1), pages 0234, March.
  5. Taylor, John B., 1980. "Output and price stability: An international comparison," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 109-132, May. [Downloadable!] (restricted)
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  6. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-70, November. [Downloadable!] (restricted)
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  7. Fair, Ray C. & Parke, William R., 1980. "Full-information estimates of a nonlinear macroeconometric model," Journal of Econometrics, Elsevier, vol. 13(3), pages 269-291, August. [Downloadable!] (restricted)
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  8. De Long, James Bradford & Summers, Lawrence H, 1986. "Is Increased Price Flexibility Stabilizing?," American Economic Review, American Economic Association, vol. 76(5), pages 1031-44, December. [Downloadable!] (restricted)
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  9. John B. Taylor, 1990. "Policy Analysis With a Multicountry Model," NBER Working Papers 2881, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Parke, William R, 1982. "An Algorithm for FIML and 3SLS Estimation of Large Nonlinear Models," Econometrica, Econometric Society, vol. 50(1), pages 81-95, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Sergio J. Rey & Guy R. West & Mark V. Janikas, 2004. "Uncertainty in Integrated Regional Models," Urban/Regional 0401001, EconWPA. [Downloadable!]
    Other versions:
  2. Le, Vo Phuong Mai & Minford, Patrick, 2007. "Optimising indexation arrangements under Calvo contracts and their implications for monetary policy," Cardiff Economics Working Papers E2007/7, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
    Other versions:
  3. Ray C. Fair, 2007. "Testing Price Equations," Kiel Working Papers 1342, Kiel Institute for the World Economy. [Downloadable!]
  4. Ray C. Fair, 2000. "Estimated, Calibrated, and Optimal Interest Rate Rules," Cowles Foundation Discussion Papers 1258, Cowles Foundation, Yale University. [Downloadable!]
  5. Ray Fair, 2003. "Bootstrapping Macroeconometric Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 7(4), pages 1110-1110. [Downloadable!] (restricted)
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  6. Ray Fair, 2002. "On Modeling the Effects of Inflation Shocks," Contributions to Macroeconomics, Berkeley Electronic Press, vol. 2(1), pages 1045-1045. [Downloadable!] (restricted)
    Other versions:
  7. Le, Vo Phuong Mai & Minford, Patrick, 2007. "Calvo Contracts - Optimal Indexation in General Equilibrium," Cardiff Economics Working Papers E2007/8, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
    Other versions:
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