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Creator: Roberds, William Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 261 Abstract:
A method is presented for solving a certain class of hierarchical rational expectations models, principally models that arise from Stackelberg dynamic games. The method allows for numerical solution using spectral factorization algorithms, and estimation of these models using standard maximum likelihood techniques.
Palavra-chave: Rational expectations theory, Stackelberg dynamic game, and Oligopoly model Sujeito: C13 - Estimation: General and C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games