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.
Stichwort: Dynamic game, Variational method, LQG, Linear-quadratic-Gaussian, and Rational expectations Fach: C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games