Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
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. Copyright 1990 by John Wiley & Sons, Ltd.
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Volume (Year): 5 (1990)
Issue (Month): 4 (Oct.-Dec.)
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- Ray C. Fair & John B. Taylor, 1980.
"Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models,"
Cowles Foundation Discussion Papers
564, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models," NBER Technical Working Papers 0005, National Bureau of Economic Research, Inc.
- John B. Taylor & Harald Uhlig, 1989.
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- 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.
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- J. Bradford De Long & Lawrence H. Summers, 1985.
"Is Increased Price Flexibility Stabilizing?,"
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1686, National Bureau of Economic Research, Inc.
- Kydland, Finn E & Prescott, Edward C, 1982.
"Time to Build and Aggregate Fluctuations,"
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- Finn E. Kydland & Edward C. Prescott, 1982. "Executable program for "Time to Build and Aggregate Fluctuations"," QM&RBC Codes 4, Quantitative Macroeconomics & Real Business Cycles.
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- John B. Taylor, 1989. "Policy Analysis With a Multicountry Model," NBER Working Papers 2881, National Bureau of Economic Research, Inc.
- Ray C. Fair & William R. Parke, 1979.
"Full Information Estimates of a Nonlinear Macroeconometric Model,"
Cowles Foundation Discussion Papers
519, Cowles Foundation for Research in Economics, Yale University.
- 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.
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- 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.
- King, Stephen R, 1988. "Is Increased Price Flexibility Stabilizing? Comment," American Economic Review, American Economic Association, vol. 78(1), pages 0234, March.
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