Creator

• Roberds, William

Series

• Working paper (Federal Reserve Bank of Minneapolis. Research Department)

Issue number

• 291

Date created

• 1985-10

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.

Subject (JEL)

• C73 - Stochastic and Dynamic Games; Evolutionary Games; Repeated Games

Keyword

• LQG
• Dynamic game
• Linear-quadratic-Gaussian
• Rational expectations
• Variational method

Related information

• An updated version of this Working Paper is available as Staff Report 105.

Date modified

• 10/07/2020

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/wp.291

License

• Creative Commons BY-NC Attribution-NonCommercial 4.0 International

In Collection:

• Working Papers

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