Full Information Estimation and Stochastic Simulation of Models with Rational Expectations

24 Pages Posted: 10 Jan 2007 Last revised: 20 Sep 2010

See all articles by Ray C. Fair

Ray C. Fair

Yale University - Cowles Foundation; Yale School of Management - International Center for Finance

John B. Taylor

Stanford University; National Bureau of Economic Research (NBER)

Date Written: October 1991

Abstract

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.

Suggested Citation

Fair, Ray C. and Taylor, John B., Full Information Estimation and Stochastic Simulation of Models with Rational Expectations (October 1991). NBER Working Paper No. t0078. Available at SSRN: https://ssrn.com/abstract=579758

Ray C. Fair (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

Yale School of Management - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States
203-432-3715 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://fairmodel.econ.yale.edu

John B. Taylor

Stanford University ( email )

Stanford, CA 94305
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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