Identification of continuous time rational expectations models from discrete time data
By: Lars Peter Hansen and Thomas J. Sargent.
Contributors: Sargent, Thomas J.
Series: Federal Reserve Bank of Minneapolis, Research Department staff report -- 73; Staff report (Federal Reserve Bank of Minneapolis. Research Dept. : Online) -- 73.
Publisher: Federal Reserve Bank of Minneapolis
Published: 1983
Place of publication: [Minneapolis, Minn.]
Language: eng
Format: Electronic resource
Subjects: Time-series analysis.
Description: "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.
Notes: Title from PDF file as viewed on 10/19/2007.

Includes bibliographical references.

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