Solution of linear-quadratic- Gaussian dynamic games using variational methods
Methods are presented for solving a certain class of rational expectations models, principally those that arise from dynamic games. The methods allow for numerical solution using spectral factorization algorithms and for estimation of these models using maximum likelihood techniques.
|Date of creation:||1986|
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- Willem H. Buiter, 1981.
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0009, National Bureau of Economic Research, Inc.
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- Lars Peter Hansen & Thomas J. Sargent, 1979.
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127, Federal Reserve Bank of Minneapolis.
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- Lars Peter Hansen & Thomas J. Sargent, 1980. "Linear rational expectations models for dynamically interrelated variables," Working Papers 135, Federal Reserve Bank of Minneapolis.
- Kydland, Finn, 1977. "Equilibrium solutions in dynamic dominant-player models," Journal of Economic Theory, Elsevier, vol. 15(2), pages 307-324, August.
- Hillier, Brian & Malcomson, James M, 1984. "Dynamic Inconsistency, Rational Expectations, and Optimal Government Policy," Econometrica, Econometric Society, vol. 52(6), pages 1437-51, November.
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