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Estimating large rational expectations models by FIML--some experiments using a new algorithm with bootstrap confidence limits

Listed author(s):
  • Minford, Patrick
  • Webb, Bruce

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/pii/S0264-9993(04)00047-1
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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 22 (2005)
Issue (Month): 1 (January)
Pages: 187-205

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Handle: RePEc:eee:ecmode:v:22:y:2005:i:1:p:187-205
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  1. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
  2. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
  3. Andrews, M J & Minford, A P L & Riley, J, 1996. "On Comparing Macroeconomic Models Using Forecast Encompassing Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(2), pages 279-305, May.
  4. Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
  5. Minford, Patrick & Marwaha, Satwant & Matthews, Kent & Sprague, Alison, 1984. "The Liverpool macroeconomic model of the United Kingdom," Economic Modelling, Elsevier, vol. 1(1), pages 24-62, January.
  6. Minford, Patrick & Agenor, Pierre-Richard & Nowell, Eric, 1986. "A new classical econometric model of the world economy," Economic Modelling, Elsevier, vol. 3(3), pages 154-174, July.
  7. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  8. Benkwitz, Alexander & L├╝tkepohl, Helmut & Neumann, Michael H., 1997. "Problems related to bootstrapping impulse responses of autoregressive processes," SFB 373 Discussion Papers 1997,85, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Holly, S. & Zarrop, M. B., 1983. "On optimality and time consistency when expectations are rational," European Economic Review, Elsevier, vol. 20(1-3), pages 23-40, January.
  10. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
  11. Blanchflower, David G & Oswald, Andrew J, 1994. "Estimating a Wage Curve for Britain: 1973-90," Economic Journal, Royal Economic Society, vol. 104(426), pages 1025-1043, September.
  12. Charles R. Nelson & Heejoon Kang, 1983. "Pitfalls in the use of Time as an Explanatory Variable in Regression," NBER Technical Working Papers 0030, National Bureau of Economic Research, Inc.
  13. David G. Blanchflower & Andrew J. Oswald, 1994. "Estimating a Wage Curve for Britain 1973-1990," NBER Working Papers 4770, National Bureau of Economic Research, Inc.
  14. Sargent, Thomas J, 1976. "A Classical Macroeconometric Model for the United States," Journal of Political Economy, University of Chicago Press, vol. 84(2), pages 207-237, April.
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