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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.

Keywords: Econometric models;

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Provider: Federal Reserve Bank of Minneapolis

Part of Series: Staff Report

Publication Date: 1994

Number: 182