Instrumental variables procedures for estimating linear rational expectations models

Lars Peter Hansen, Thomas J. Sargent

    Research output: Contribution to journalArticlepeer-review


    This paper illustrates how to use instrumental variables procedures to estimate the parameters of a linear rational expectations model. These procedures are appropriate when disturbances are serially correlated and the instrumental variables are not exogenous. We compare our procedures to some alternative estimators that estimate free parameters from restrictions implied by the Euler equations. The procedures are applicable to a variety of linear rational expectations models, several examples of which we cite.

    Original languageEnglish (US)
    Pages (from-to)263-296
    Number of pages34
    JournalJournal of Monetary Economics
    Issue number3
    StatePublished - 1982

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics


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