Some exact and inexact linear rational expectation models in vector autoregressive models

Anders Rygh Swensen

Economics Letters, 2014, vol. 123, issue 2, 216-219

Abstract: In this paper we consider maximum likelihood estimation in some exact and inexact linear rational expectation (LRE) models. The implications of the two models on the coefficients of the vector autoregressive (VAR) model are spelled out. The inexact version is more complicated and possible simplification of the resulting constrained optimization problem is discussed.

Keywords: Vector autoregressive models; Exact rational expectations; Inexact rational expectations; Maximum likelihood estimation (search for similar items in EconPapers)
JEL-codes: C32 C61 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176514000792
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:2:p:216-219

DOI: 10.1016/j.econlet.2014.02.015

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().