Authors
Ellen R. McGrattan
Consultant
Thomas J. Sargent
New York University and Hoover Institution
On the 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 apply these methods to several example economies.
Published in: Handbook of Computational Economics (Vol. 1, 1996, pp. 171-252) https://doi.org/10.1016/S1574-0021(96)01006-4.
