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Estimation of continuous time dynamic macroeconomic models under rational expectations

Objectif



I will consider the maximum likelihood estimation of macroeconometric models described as systems of stochastic differential equations having the saddle path property. Deterministic versions of saddlepath stable macromodels abound in macroeconomic dynamics under rational expectations. The research project will be divided in two stages.
In the first stage I will build a dynamic macromodel of complete economy, under rational expectations,based on a system of stochastic differential equations. I shall simulate the system and study its long run behaviour. In a second stage the likelihood function will be constructed based on the relevant exact discrete time model. Monetary and policy simulations will be performed. The estimation will be performed for the Greek as well as other European economies and will be implemented in the matrix programming language "Gauss".

Champ scientifique (EuroSciVoc)

Programme(s)

Thème(s)

Appel à propositions

Données non disponibles

Régime de financement

RGI - Research grants (individual fellowships)

Coordinateur

ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS
Contribution de l’UE
Aucune donnée
Adresse
76,Patission Street 76
10434 ATHENS
Grèce
Coût total
Aucune donnée

Participants (1)