Parameter estimation of macroeconomic systems under rational expectations

DOI10.1080/00207728708964036MaRDI QIDQ3760413zbMATH OpenOpenAlexFDO

Authors

Publication date 1987

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728708964036

zbMATH Keywords

parameter estimationMonte-Carlo simulationadaptive estimatorreduced-formstructural form estimator

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Economic growth models (91B62) Linear systems in control theory (93C05) Adaptive control/observation systems (93C40) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites work

• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• scientific article; zbMATH DE number 3200262 (Why is no real title available?)
• Econometric Implications of the Rational Expectations Hypothesis
• Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models

Cited in

(12)

• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
• What to expect when you're calibrating: measuring the effect of calibration on the estimation of macroeconomic models
• Parameter estimation in a model of the labor market
• Some exact and inexact linear rational expectation models in vector autoregressive models
• On the specification and estimation of large scale simultaneous structural macroeconometric models
• Seasonally and approximation errors in rational expectations models
• Estimating structural parameters in regression models with adaptive learning
• scientific article; zbMATH DE number 903175 (Why is no real title available?)
• The Efficient Estimation of Econometric Models with Rational Expectations
• Calibration of macroeconomic models with incomplete data—A systems approach
• scientific article; zbMATH DE number 45348 (Why is no real title available?)
• Macroeconomic modelling relaxing theoretic assumptions in the Croatian financial sphere

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Uses Software

• SAS

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