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

This paper shows how to compute a second-order accurate solution of a non-linear rational expectation model using algorithms developed for the solution of linear rational expectation models. The result is a state-space representation for the realized values of the variables of the model. This state-space representation can easily be used to compute impulse responses as well as conditional and unconditional forecasts. JEL Classification: C63, E0

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Year of publication:	2005-05
Authors:	Lombardo, Giovanni ; Sutherland, Alan
Institutions:	European Central Bank
Subject:	Second order approximation \| Solution method for rational expectation models

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Extent:	application/pdf
Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0487
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005530840