[position in research by date]
[position in research by subject]
"Full Information Estimation and Stochastic Simulation of Models with
Rational Expectations," (with J. B. Taylor), Journal of Applied
Econometrics, October-December 1990, 381-392.
pdf file (783KB).
A computationally feasible method for the full information maximum-likelihood
estimation of models with rational expectations is described in this paper.
The stochastic simulation of such models is also described. The methods
discussed in this paper should open the way for many more tests of the
rational expectations hypothesis within macroeconomic models.
This paper is a follow up to 1983#1. It shows that
maximum likelihood estimates of models with rational expectations
appear to be computationally feasible. Similarly, the stochastic simulation
of such models appears computationally feasible.