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Mechanics of forming and estimating dynamic linear economies

In: Handbook of Computational Economics

Author

Listed:
  • Anderson, Evan W.
  • McGrattan, Ellen R.
  • Hansen, Lars Peter
  • Sargent, Thomas J.

Abstract

This 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 display an application to Rosen, Murphy, and Scheinkman's (1994) model of cattle cycles.
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Suggested Citation

  • Anderson, Evan W. & McGrattan, Ellen R. & Hansen, Lars Peter & Sargent, Thomas J., 1996. "Mechanics of forming and estimating dynamic linear economies," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 4, pages 171-252, Elsevier.
    • Handle: RePEc:eee:hecchp:1-04
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    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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