Report
Mechanics of forming and estimating dynamic linear economies
Abstract: This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a Gaussian likelihood function and its gradient with respect to parameters. We display an application to Rosen, Murphy, and Scheinkman's (1994) model of cattle cycles.
Access Documents
File(s):
File format is application/pdf
https://www.minneapolisfed.org/research/sr/sr182.pdf
Description: Full Text
Bibliographic Information
Provider: Federal Reserve Bank of Minneapolis
Part of Series: Staff Report
Publication Date: 1994
Number: 182