Recursive solution methods for dynamic linear rational expectations models
DOI10.1016/0304-4076(89)90043-2zbMATH Open0697.62105OpenAlexW2093902973MaRDI QIDQ911206FDOQ911206
Authors: Mark W. Watson 
Publication date: 1989
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(89)90043-2
Recommendations
- The solution of dynamic linear rational expectations models
- Efficient solution techniques for linear and nonlinear rational expectations models
- A recursive forward simulation method for solving nonlinear rational expectations models
- A recursive forward simulation method for solving nonlinear rational expectations models
- Methods of solution for dynamic rational expectations models: A survey
- Solving and estimating dynamic models under rational expectations
- Solving linear rational expectations models
- scientific article; zbMATH DE number 3913518
- Solutions to linear rational expectations models: a compact exposition
- Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
Kalman filterARMA modelsconstraintsstate-space representationdividendstemporal aggregationstock pricesdynamic errors-in-variablesdynamic linear rational expectations modelsGaussian likelihood functionnew estimation techniquerecursive solution methods
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
Cites Work
- The Lindeberg-Levy Theorem for Martingales
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Vector linear time series models
- Asymptotic properties of dynamic stochastic parameter estimates. III
- Title not available (Why is that?)
- Evaluation of likelihood functions for Gaussian signals
- The Solution of Linear Difference Models under Rational Expectations
- Title not available (Why is that?)
- Identification of rational expectations models
- Title not available (Why is that?)
- Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
- Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
- Errors in Variables and Seasonal Adjustment Procedures
Cited In (14)
- Testing for sunspot equilibria in the German hyperinflation
- Methods of solution for dynamic rational expectations models: A survey
- Dynamic efficiency in the east European emerging markets
- MODELING MOVEMENTS IN INDIVIDUAL CONSUMPTION: A TIME-SERIES ANALYSIS OF GROUPED DATA
- Exact initial conditions for maximum likelihood estimation of state space models with stochastic inputs
- A fast and stable method to compute the likelihood of time invariant state-space models.
- A standard error for the estimated state vector of a state-space model
- Solving rational-expectations models through the Anderson-Moore algorithm: An introduction to the MATLAB implementation
- A recursive forward simulation method for solving nonlinear rational expectations models
- A recursive forward simulation method for solving nonlinear rational expectations models
- An eigenvalue method of undetermined coefficients for solving linear rational expectations models
- Solving and estimating dynamic models under rational expectations
- A ``nearly ideal solution to linear time-varying rational expectations models
- System reduction and solution algorithms for singular linear difference systems under rational expectations
This page was built for publication: Recursive solution methods for dynamic linear rational expectations models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q911206)
