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Zawartość zarchiwizowana w dniu 2024-05-07

Estimation of continuous time dynamic macroeconomic models under rational expectations

Cel



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".

Dziedzina nauki (EuroSciVoc)

Program(-y)

Temat(-y)

Zaproszenie do składania wniosków

Brak dostępnych danych

System finansowania

RGI - Research grants (individual fellowships)

Koordynator

ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS
Wkład UE
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Adres
76,Patission Street 76
10434 ATHENS
Grecja
Koszt całkowity
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Uczestnicy (1)