Bibliographical noteFunding Information:
*Lars Peter Hansen and Thomas J. Sargent acknowledge financial support from the National Science Foundation, and Evan W. Anderson from a University of Chicago Century graduate fellowship. This report benefited greatly from insightful comments by an anonymous referee. We especially thank Peter Zadrozny for his invaluable comments. Conversations with Sherwin Rosen were very helpful in formulating two of our example economies and in estimating the cattle cycle model. To obtain computer programs that implement the calculations described in the appendices, please send an e-mail message to email@example.com, frb.fed.us. To obtain computer programs that implement the algorithms for solving Riccati and Sylvester equations, please send an e-mail message to ewandersOmidway, uchicago, edu. The views expressed in this paper are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System.