Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
NBER Technical Working Paper No. 78
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.
Published: Journal of Applied Econometrics, Vol. 5, pp. 381-392, (1990).