Maximum likelihood estimation of the nonlinear rational expectations asset pricing model

DOI10.1016/S0165-1889(97)00037-7zbMath0901.90050MaRDI QIDQ1391448

Mario J. Miranda, Xiongwen Rui

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

numerical methodsmaximum likelihoodnonlinear rational expectations models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

Uses Software

• NPSOL

Cites Work

• Projection methods for solving aggregate growth models
• Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Asset Prices in an Exchange Economy
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Unnamed Item

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