Full Information Estimation and Stochastic Simulation of Models with Rational Expectations

Ray Fair () and John Taylor

Journal of Applied Econometrics, 1990, vol. 5, issue 4, 381-92

Abstract: A computationally feasible method for the full information maximum-likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconomic models. Copyright 1990 by John Wiley & Sons, Ltd.

Date: 1990
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Related works:
Working Paper: Full Information Estimation and Stochastic Simulation of Models with Rational Expectations (1991)
Working Paper: Full Information Estimation and Stochastic Simulation of Models with Rational Expectations (1989)
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