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Instrumental Variables Procedures for Estimating Linear Rational Expectations Models

Staff Report 70 | Published September 1, 1981

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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

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