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Procedures for Solving and Estimating a Class of Hierarchical Linear Rational Expectations Models

Working Paper 261 | Published August 1, 1984

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Author

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William Roberds

Procedures for Solving and Estimating a Class of Hierarchical Linear Rational Expectations Models

Abstract

A method is presented for solving a certain class of hierarchical rational expectations models, principally models that arise from Stackelberg dynamic games. The method allows for numerical solution using spectral factorization algorithms, and estimation of these models using standard maximum likelihood techniques.