Bibframe Work

Title

Identification of continuous time rational expectations models from discrete time data

Type

Text

Monograph

Contribution

Hansen, Lars Peter (author)

Sargent, Thomas J. (contributor)

Subject

Time-series analysis (LCSH)

Language

English (eng)

Classification

LCC: HB1 (Assigner: dlc) (Status: used by assigner)

Supplementary Content

bibliography (bibliography)

Content

text (txt)

Summary

"This paper shows how the cross-equation restrictions implied by dynamic rational expectations models can be used to resolve the aliasing identification problem. Using a continuous time, linear-quadratic optimization environment, this paper describes how the resulting restrictions are sufficient to identify the parameters of the underlying continuous time process when it is known that the true continuous time process has a rational spectral density matrix"--Federal Reserve Bank of Minneapolis web site.

Table Of Contents

Government Publication Type

federal or national

Authorized Access Point

Hansen, Lars Peter. Identification of continuous time rational expectations models from discrete time data

Admin Metadata

Status: new

Date: 2007-10-19

Agent: United States, Library of Congress

Admin Metadata

Status: changed

Date: 2014-03-27T08:55:39