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December 3, 2010 | History

Formulating and estimating continuous time rational expectations models 1 edition

Formulating and estimating continuous time rational expectations model ...
Lars Peter Hansen

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Formulating and estimating continuous time rational expectations models
Lars Peter Hansen and Thomas J. Sargent.

Published 1981 by Federal Reserve Bank of Minneapolis in [Minneapolis, Minn.] .
Written in English.

About the Book

"This paper proposes a method for estimating the parameters of continuous time, stochastic rational expectations models from discrete time observations. The method is important since various heuristic procedures for deducing the implications for discrete time data of continuous time models, such as replacing derivatives with first differences, can sometimes give rise to very misleading conclusions about parameters. Our proposal is to express the restrictions imposed by the rational expectations model on the continuous time process generating the observable variables. Then the likelihood function of a discrete time sample of observations from this process is obtained. Parameter estimates are computed by maximizing the likelihood function with respect to the free parameters of the continuous time model"--Federal Reserve Bank of Minneapolis web site.

Edition Notes

Title from PDF file as viewed on 10/19/2007.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.

Series
Federal Reserve Bank of Minneapolis, Research Department staff report -- 75, Staff report (Federal Reserve Bank of Minneapolis. Research Dept. : Online) -- 75.

Classifications

Library of Congress
HB1

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL16412982M
LC Control Number
2007702542

History Created December 10, 2009 · 2 revisions Download catalog record: RDF / JSON

December 3, 2010 Edited by Open Library Bot Added subjects from MARC records.
December 10, 2009 Created by WorkBot add works page