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On the mechanics of forming and estimating dynamic linear economies
Evan W. Anderson,
Lars Peter Hansen and
Ellen R. McGrattan ()
Thomas J. Sargent
Staff Report from Federal Reserve Bank of Minneapolis
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.
Keywords: Econometric; models (search for similar items in EconPapers)
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Published in Handbook of Computational Economics (1996)
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Persistent link: http://EconPapers.repec.org/RePEc:fip:fedmsr:198
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