Parameter estimation of macroeconomic systems under rational expectations

DOI10.1080/00207728708964036zbMATH Open0622.93075OpenAlexW2071001525MaRDI QIDQ3760413FDOQ3760413

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

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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)

Cites Work

• Title not available (Why is that?)
• Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
• Econometric Implications of the Rational Expectations Hypothesis
• Title not available (Why is that?)

Cited In (12)

• 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
• Title not available (Why is that?)
• The Efficient Estimation of Econometric Models with Rational Expectations
• Calibration of macroeconomic models with incomplete data—A systems approach
• Title not available (Why is that?)
• Macroeconomic modelling relaxing theoretic assumptions in the Croatian financial sphere
• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables

Uses Software

• SAS

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