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Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Lars Peter Hansen and Kenneth J. Singleton
Vol. 50, No. 5 (Sep., 1982), pp. 1269-1286
Published by: The Econometric Society
Stable URL: http://www.jstor.org/stable/1911873
Page Count: 18
You can always find the topics here!Topics: Economic expectations, Instrumental variables estimation, Economic models, Estimators, Maximum likelihood estimation, Orthogonality, Econometrics, Rational expectations theory, Instrumental variables, Economic growth models
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This paper describes a method for estimating and testing nonlinear rational expectations models directly from stochastic Euler equations. The estimation procedure makes sample counterparts to the population orthogonality conditions implied by the economic model close to zero. An attractive feature of this method is that the parameters of the dynamic objective functions of economic agents can be estimated without explicitly solving for the stochastic equilibrium.
Econometrica © 1982 The Econometric Society