Mechanics of forming and estimating dynamic linear economies
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.
|Date of creation:||1994|
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NBER Working Papers
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Federal Reserve Bank of San Francisco, issue Mar.
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93, Federal Reserve Bank of Minneapolis.
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