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On the mechanics of forming and estimating dynamic linear economies

Evan Anderson, Lars Hansen, Ellen McGrattan and Thomas Sargent ()

No 198, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: 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)
Date: 1995
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Published in Handbook of Computational Economics (1996)

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Related works:
Chapter: Mechanics of forming and estimating dynamic linear economies (1996) Downloads
Working Paper: Mechanics of forming and estimating dynamic linear economies (1994) Downloads
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