Authors
Ellen R. McGrattan
Consultant
Thomas J. Sargent
New York University and Hoover Institution
Mechanics of Forming and Estimating Dynamic Linear Economies
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 display an application to Rosen, Murphy, and Scheinkman's (1994) model of cattle cycles.
[Additional Files](https://researchdatabase.minneapolisfed.org/concern/datasets/z029p480m?locale=en)
[M-files and Ftools](https://researchdatabase.minneapolisfed.org/concern/datasets/765371353?locale=en)
