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On the mechanics of forming and estimating dynamic linear economies


Abstract: This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a Gaussian likelihood function and its gradient with respect to parameters. We apply these methods to several example economies.

Keywords: Econometric models;

Status: Published in Handbook of Computational Economics (1996)

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Provider: Federal Reserve Bank of Minneapolis

Part of Series: Staff Report

Publication Date: 1995

Number: 198