Solution of linear-quadratic-Gaussian dynamic games using variational methods Público Deposited

Creator Series Issue number
  • 291
Date Created
  • 1985-10
  • 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) Palavra-chave Colaboradores Date Modified
  • 03/15/2018
  • Federal Reserve Bank of Minneapolis. Research Division.
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