Recursive solution methods for dynamic linear rational expectations models

DOI10.1016/0304-4076(89)90043-2zbMath0697.62105OpenAlexW2093902973MaRDI QIDQ911206

Mark W. Watson

Publication date: 1989

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(89)90043-2

zbMATH Keywords

Kalman filterconstraintsARMA modelsstock pricestemporal aggregationstate-space representationdividendsdynamic errors-in-variablesdynamic linear rational expectations modelsGaussian likelihood functionnew estimation techniquerecursive solution methods

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites Work

• Identification of rational expectations models
• Asymptotic properties of dynamic stochastic parameter estimates. III
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• Errors in Variables and Seasonal Adjustment Procedures
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• The Solution of Linear Difference Models under Rational Expectations
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
• Vector linear time series models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Evaluation of likelihood functions for Gaussian signals
• The Lindeberg-Levy Theorem for Martingales
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