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Estimation of continuous time dynamic macroeconomic models under rational expectations

Obiettivo



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".

Campo scientifico (EuroSciVoc)

Programma(i)

Argomento(i)

Invito a presentare proposte

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Meccanismo di finanziamento

RGI - Research grants (individual fellowships)

Coordinatore

ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS
Contributo UE
Nessun dato
Indirizzo
76,Patission Street 76
10434 ATHENS
Grecia
Costo totale
Nessun dato

Partecipanti (1)