Parameter estimation of macroeconomic systems under rational expectations

DOI10.1080/00207728708964036zbMath0622.93075OpenAlexW2071001525MaRDI QIDQ3760413

No author found.

Publication date: 1987

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728708964036

zbMATH Keywords

parameter estimationadaptive estimatorMonte-Carlo simulationreduced-formstructural form estimator

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Economic growth models (91B62) Identification in stochastic control theory (93E12)

Uses Software

• SAS

Cites Work

• Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
• Econometric Implications of the Rational Expectations Hypothesis
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