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Solution of Linear-Quadratic-Gaussian Dynamic Games Using Variational Methods

Working Paper 291 | Published October 1, 1985

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Author

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William Roberds

Solution of Linear-Quadratic-Gaussian Dynamic Games Using Variational Methods

Abstract

Methods are presented for solving a certain class of rational expectations models, principally those that arise from dynamic games. The methods allow for numerical solution using spectral factorization algorithms, and estimation of these models using maximum likelihood techniques.