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.

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Year of publication:	2005
Authors:	Lombardo, Giovanni ; Sutherland, Alan
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	Rationale Erwartung \| Zustandsraummodell \| Second order approximation \| Solution method for rational expectation models

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Series:	ECB Working Paper ; 487
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	495121894 [GVK] hdl:10419/152921 [Handle] RePEc:ecb:ecbwps:20050487 [RePEc]
Classification:	C63 - Computational Techniques ; E0 - Macroeconomics and Monetary Economics. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10011604533