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.
关键词: Stackelberg dynamic game, Rational expectations theory, and Oligopoly model 学科: C13 - Estimation: General and C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games