Procedures for Solving and Estimating a Class of Hierarchical Linear Rational Expectations Models Public Deposited

Creator Series Issue number
  • 261
Date Created
  • 1984-08
  • 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.

Subject (JEL) Mot-clé Date Modified
  • 07/12/2019
Corporate Author
  • Federal Reserve Bank of Minneapolis. Research Department
  • Federal Reserve Bank of Minneapolis
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