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 apply these methods to several example economies.
Published in: _Handbook of Computational Economics_ (Vol. 1, 1996, pp. 171-252) https://doi.org/10.1016/S1574-0021(96)01006-4.