Staff Report 198

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On the Mechanics of Forming and Estimating Dynamic Linear Economies

Evan W. Anderson
Lars Peter Hansen
Ellen R. McGrattan - Monetary Advisor
Thomas J. Sargent - Consultant

Published September 1, 1995

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.

Published In: Handbook of Computational Economics (Vol. 1, 1996, pp. 171-252)

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