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On the Mechanics of Forming and Estimating Dynamic Linear Economies

Staff Report 198 | Published September 1, 1995

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Authors

Evan W. Anderson

Lars Peter Hansen

photo of Thomas J. Sargent

Thomas J. Sargent Consultant

On the 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 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

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