Full Information Estimation and Stochastic Simulation of Models with Rational Expectations

Ray Fair () and John Taylor

No 78, NBER Technical Working Papers from National Bureau of Economic Research, Inc

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 macroeconometric models.

Date: 1991-10
Note: EFG
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Published as Journal of Applied Econometrics, Vol. 5, pp. 381-392, (1990).

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