Add to ORKGA 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 macroeconomic models. 1
In the process of trying to estimate a behavioral equation (either structural or reduced from) deriv...
The solutions of a macroeconometricmodel with expectations of future-dated variables has to be appro...
Previous attempts at modelling current observed endogenous financial variables in a macroeconomic mo...
A computationally feasible method for the full information maximum likelihood estimation of models w...
Abstract: The partial information rational expectations solution to a general linear multivariate ex...
The partial information rational expectations solution to a general linear multivariate expectationa...
This paper presents new, computationally efficient algorithms for solution and estimation of nonline...
Abstract. This paper presents a computationally fesible procedure for the optimal control and stocha...
A solution method and an estimation method for nonlinear rational expectations models are presented ...
Macroeconomic models employing "rational expectations" require the assumption that agents possess in...
This paper develops the Parameterized Expectations Approach (PEA) for solving nonlinear dynamic stoc...
This paper compares numerically the asymptotic distributions of parameter estimates and test statist...
This paper shows how probability questions can be answered within the context of macroeconometric mo...
This thesis examines certain key problems that the existence of forward rational expectations poses ...
The assumption of forward-looking agents in theoretical macroeconomic models has become increasingly...
In the process of trying to estimate a behavioral equation (either structural or reduced from) deriv...
The solutions of a macroeconometricmodel with expectations of future-dated variables has to be appro...
Previous attempts at modelling current observed endogenous financial variables in a macroeconomic mo...
A computationally feasible method for the full information maximum likelihood estimation of models w...
Abstract: The partial information rational expectations solution to a general linear multivariate ex...
The partial information rational expectations solution to a general linear multivariate expectationa...
This paper presents new, computationally efficient algorithms for solution and estimation of nonline...
Abstract. This paper presents a computationally fesible procedure for the optimal control and stocha...
A solution method and an estimation method for nonlinear rational expectations models are presented ...
Macroeconomic models employing "rational expectations" require the assumption that agents possess in...
This paper develops the Parameterized Expectations Approach (PEA) for solving nonlinear dynamic stoc...
This paper compares numerically the asymptotic distributions of parameter estimates and test statist...
This paper shows how probability questions can be answered within the context of macroeconometric mo...
This thesis examines certain key problems that the existence of forward rational expectations poses ...
The assumption of forward-looking agents in theoretical macroeconomic models has become increasingly...
In the process of trying to estimate a behavioral equation (either structural or reduced from) deriv...
The solutions of a macroeconometricmodel with expectations of future-dated variables has to be appro...
Previous attempts at modelling current observed endogenous financial variables in a macroeconomic mo...