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Creator: Roberds, William Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 291 Abstract:
Methods are presented for solving a certain class of rational expectations models, principally those that arise from dynamic games. The methods allow for numerical solution using spectral factorization algorithms, and estimation of these models using maximum likelihood techniques.
Mot-clé: Rational expectations, Variational method, Dynamic game, LQG, and Linear-quadratic-Gaussian Assujettir: C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games