On the Mechanics of Forming and Estimating Dynamic Linear Economies

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 apply these methods to several example economies. Lars Peter Hansen and Thomas J… (More)

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@inproceedings{Anderson1996OnTM, title={On the Mechanics of Forming and Estimating Dynamic Linear Economies}, author={Evan W. Anderson and Lars Peter Hansen and Ellen R. McGrattan and Thomas J. Sargent}, year={1996} }