Estimation of continuous time dynamic macroeconomic models under rational expectations

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Project objective

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". "

Original text from CORDIS.

Participants

• Athens University of Economics and Business · AthensCoordinatorGreece
• Not availableCity levelGreece

Links

• View on CORDIS