Creator

• Anderson, Evan W.
• Hansen, Lars Peter
• McGrattan, Ellen R.
• Sargent, Thomas J.

Series

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

Issue number

• 198

Date created

• 1995-09

Abstract

• This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a Gaussian likelihood function and its gradient with respect to parameters. We apply these methods to several example economies.

Related information

• Published in: Handbook of Computational Economics (Vol. 1, 1996, pp. 171-252) https://doi.org/10.1016/S1574-0021(96)01006-4.

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.198

License

• Creative Commons BY-NC Attribution-NonCommercial 4.0 International

In Collection:

• Staff Reports

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