Staff Report 198

On the Mechanics of Forming and Estimating Dynamic Linear Economies

Ellen R. McGrattan | Consultant
Evan W. Anderson
Lars Peter Hansen
Thomas J. Sargent | Consultant

Published September 1, 1995

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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)

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