Mechanics of forming and estimating dynamic linear economies
Ellen McGrattan and
Thomas Sargent ()
No 182, 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 display an application to Rosen, Murphy, and Scheinkman's (1994) model of cattle cycles.
Keywords: Econometric; models (search for similar items in EconPapers)
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Chapter: Mechanics of forming and estimating dynamic linear economies (1996)
Working Paper: On the mechanics of forming and estimating dynamic linear economies (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmsr:182
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