Recursive solution methods for dynamic linear rational expectations models

DOI10.1016/0304-4076(89)90043-2MaRDI QIDQ911206zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Kalman filterARMA modelsconstraintsstate-space representationdividendstemporal aggregationstock pricesdynamic errors-in-variablesdynamic linear rational expectations modelsGaussian likelihood functionnew estimation techniquerecursive solution methods

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3941216 (Why is no real title available?)
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• Asymptotic properties of dynamic stochastic parameter estimates. III
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Errors in Variables and Seasonal Adjustment Procedures
• Evaluation of likelihood functions for Gaussian signals
• Identification of rational expectations models
• 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
• The Lindeberg-Levy Theorem for Martingales
• The Solution of Linear Difference Models under Rational Expectations
• Vector linear time series models

Cited in

(14)

• Modeling movements in individual consumption: a time-series analysis of grouped data
• 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
• 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

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