Creator: Anderson, Evan W. , Hansen, Lars Peter, McGrattan, Ellen R., and Sargent, Thomas J. Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 198 Abstract:
This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a Gaussian likelihood function and its gradient with respect to parameters. We apply these methods to several example economies.