Skip to main content

Instrumental Variables Procedures for Estimating Linear Rational Expectations Models

Staff Report 70 | Published September 1, 1981

Download PDF

Authors

Thomas J. Sargent New York University and Hoover Institution
Instrumental Variables Procedures for Estimating Linear Rational Expectations Models

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) https://doi.org/10.1016/0304-3932(82)90020-4.