Creator

• Hansen, Lars Peter
• Sargent, Thomas J.

Series

• Staff report (Federal Reserve Bank of Minneapolis. Research Department)

Issue number

• 070

Date created

• 1981-09

Abstract

• This paper illustrates how to use instrumental variables procedures to estimate the parameters of a linear rational expectations model. These procedures are appropriate when disturbances are serially correlated and the instrumental variables are not exogenous.

Related information

• Published in: Journal of Monetary Economics (Vol. 9, No. 3, May 1982, pp. 263-296) https://doi.org/10.1016/0304-3932(82)90020-4.

Corporate Author

• Federal Reserve Bank of Minneapolis. Research Department

Publisher

• Federal Reserve Bank of Minneapolis

Resource type

• Research Paper

DOI

•  https://doi.org/10.21034/sr.70

License

• Creative Commons BY-NC Attribution-NonCommercial 4.0 International

In Collection:

• Staff Reports

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