On the Mechanics of Forming and Estimating Dynamic Linear Economies

On the Mechanics of Forming and Estimating Dynamic Linear Economies

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by Evan W. Anderson , Lars Peter Hansen , Ellen R. McGrattan , Thomas J. Sargent

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@MISC{Anderson_onthe,
    author = {Evan W. Anderson and Lars Peter Hansen and Ellen R. McGrattan and Thomas J. Sargent},
    title = {On the Mechanics of Forming and Estimating Dynamic Linear Economies},
    year = {}
}

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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 apply these methods to several example economies.

Citations

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