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Full Information Estimation and Stochastic Simulation of Models with Rational Expectations / Ray C. Fair, John B. Taylor.
- Format:
- Book
- Author/Creator:
- Fair, Ray C.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0078.
- NBER technical working paper series no. t0078
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1991.
- Summary:
- A 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 macroeconometric models.
- Notes:
- Print version record
- October 1991.
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