Staff Report 70

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Instrumental Variables Procedures for Estimating Linear Rational Expectations Models

Lars Peter Hansen
Thomas J. Sargent - Consultant

Published September 1, 1981

Abstract
This paper illustrates how to use instrumental variables procedures to estimate the parameters of a linear rational expectations model. These procedures are appropriate when disturbances are serially correlated and the instrumental variables are not exogenous.


Published In: Journal of Monetary Economics (Vol. 9, No. 3, May 1982, pp. 263-296)

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