Computing second-order-accurate solutions for rational expectation models using linear solution methods

DOI10.1016/j.jedc.2005.10.004zbMath1162.91488OpenAlexW3123790850MaRDI QIDQ959744

Alan Sutherland, Giovanni Lombardo

Publication date: 12 December 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp487.pdf

zbMATH Keywords

second-order approximationsolution methods for rational expectation models

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (13)

Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models ⋮ Euro area inflation persistence in an estimated nonlinear DSGE model ⋮ Solving the multi-country real business cycle model using a perturbation method ⋮ Second-order approximation of dynamic models without the use of tensors ⋮ Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations ⋮ Prospect theory and market quality ⋮ On the study of a rational expectation model with lagged endogenous variables ⋮ Solving DSGE models with a nonlinear moving average ⋮ Solvability of perturbation solutions in DSGE models ⋮ Country portfolio dynamics ⋮ Tractable likelihood-based estimation of nonlinear DSGE models ⋮ Downward Wage Rigidities and Optimal Monetary Policy in a Monetary Union* ⋮ Particle filters for continuous likelihood evaluation and maximisation

Uses Software

• Uhlig Toolkit

Cites Work

• Unnamed Item
• Business cycles in a two-sector model of endogenous growth
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Solving linear rational expectations models
• Solving dynamic equilibrium models by a method of undetermined coefficients
• System reduction and solution algorithms for singular linear difference systems under rational expectations
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• The Solution of Linear Difference Models under Rational Expectations

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