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:	2007
Authors:	Lombardo, Giovanni ; Sutherland, Alan
Publisher:	[S.l.] : SSRN
Subject:	Rationale Erwartung \| Rational expectations \| Zustandsraummodell \| State space model
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Economic Dynamics and Control, Vol. 31, No. 2, 2007 Volltext nicht verfügbar
Classification:	C63 - Computational Techniques ; E0 - Macroeconomics and Monetary Economics. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014049269