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. This 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.

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Year of publication:	2005-03
Authors:	Lombardo, Giovanni ; Sutherland, Alan
Institutions:	Centre for Dynamic Macroeconomic Analysis, University of St. Andrews
Subject:	Second-order approximation \| solution method for rational expectation models

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Extent:	application/pdf
Series:	CDMA Conference Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization ; E0 - Macroeconomics and Monetary Economics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005698041