Solution of linear-quadratic- Gaussian dynamic games using variational methods

William Roberds

No 105, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: Methods are presented for solving a certain class of rational expectations models, principally those that arise from dynamic games. The methods allow for numerical solution using spectral factorization algorithms and for estimation of these models using maximum likelihood techniques.

Keywords: Game theory; Rational expectations (Economic theory) (search for similar items in EconPapers)
Date: 1986
New Economics Papers: this item is included in nep-gth
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