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Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

Lars Peter Hansen and Kenneth J. Singleton
Econometrica
Vol. 50, No. 5 (Sep., 1982), pp. 1269-1286
Published by: The Econometric Society
DOI: 10.2307/1911873
Stable URL: http://www.jstor.org/stable/1911873
Page Count: 18
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
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Abstract

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.

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