Estimation and Solution of Models with Expectations and Structural Changes
含预期与结构变化模型的估计和求解
Summary In this paper, we develop solutions for linearized models with forward‐looking expectations and structural changes under a variety of assumptions regarding agents' beliefs about those structural changes. For each solution, we show how its associated likelihood function can be constructed by using a ‘backward–forward’ algorithm. We illustrate the techniques with two examples. The first considers an inflationary program in which beliefs about the inflation target…