Full Information Estimation and Stochastic Simulation of Models with Rational Expectations
A computationally feasible method for the full information maximum likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconomic models.
Fair, Ray C. and Taylor, John B., "Full Information Estimation and Stochastic Simulation of Models with Rational Expectations" (1989). Cowles Foundation Discussion Papers. 1165.