Research Discussion Paper – RDP 2012-08 Estimation and Solution of Models with Expectations and Structural Changes

Contents

• Introduction
• Solution of Models with Forward-looking Expectations and No Structural Changes
• Solutions with Structural Changes
• Numerical Examples
• Conclusion
• Appendix A: The Kalman Filter Equations
• References

The Discussion Paper series is intended to make the results of the current economic research within the Reserve Bank available to other economists. Its aim is to present preliminary results of research so as to encourage discussion and comment. Views expressed in this paper are those of the authors and not necessarily those of the Reserve Bank. Use of any results from this paper should clearly attribute the work to the authors and not to the Reserve Bank of Australia.

The contents of this publication shall not be reproduced, sold or distributed without the prior consent of the Reserve Bank of Australia.

We thank Adam Cagliarini, Alex Heath, Gordon Menzies, James Morley and Michael Plumb for comments.