Skip to main content

Mechanics of Forming and Estimating Dynamic Linear Economies

Staff Report 182 | Published September 1, 1994

Download PDF

Authors

Lars Peter Hansen

photo of Thomas J. Sargent

Thomas J. Sargent Consultant

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.