Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
24 Pages Posted: 10 Jan 2007 Last revised: 20 Mar 2023
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: 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
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