TY  - JOUR
AU  - Fair,Ray C.
AU  - Taylor,John B.
TI  - Full Information Estimation and Stochastic Simulation of Models with    Rational Expectations
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 78
PY  - 1991
Y2  - October 1991
UR  - http://www.nber.org/papers/t0078
L1  - http://www.nber.org/papers/t0078.pdf
N1  - Author contact info:
Ray C. Fair
Cowles Foundation
P.O. Box 208281
Yale University
New Haven, CT  06520-8281
E-Mail: ray.fair@yale.edu

John B. Taylor
Herbert Hoover Memorial Building
Stanford University
Stanford, CA 94305-6010
Tel: 650/723-9677
Fax: 650-723-1687
E-Mail: John.Taylor@stanford.edu
AB  - 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.
ER  -