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.
