NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Full Information Estimation and Stochastic Simulation of Models with Rational Expectations

Ray C. Fair, John B. Taylor

NBER Technical Working Paper No. 78
Issued in October 1991
NBER Program(s):   EFG

A computationally feasible method for the full information maximum likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconometric models.

download in pdf format
   (1441 K)

 email paper

This paper is available as PDF (1441 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/t0078

Published: Journal of Applied Econometrics, Vol. 5, pp. 381-392, (1990).

Users who downloaded this paper also downloaded these:
Meyer and t0076 Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock
Fogel h0001 Second Thoughts on the European Escape from Hunger: Famines, Price Elasticities, Entitlements, Chronic Malnutrition, and Mortality Rates
Dumas t0077 Super Contact and Related Optimality Conditions: A Supplement to AvinashDixits:"A Simplified Exposition of Some Results Concerning Regulated Brownian.
Kane t0075 The Delivery of Market Timing Services: Newsletters Versus Market Timing Funds
Quandt and Rosen t0074 Endogenous Output in an Aggregate Model of the Labor Market
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us