Simulating Forward-Looking Models

The solutions of a macroeconometricmodel with expectations of future-dated variables has to be approximated by numerical simulations. A brief review of deterministic and stochastic dynamic simulations of a backward-looking model is followed by a conceptual presentation of methods for dynamic simulations of a forward-looking (rational expectations) model. Detailed numerical methods for solving the models are beyond the scope of this note.

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Year of publication:	2001
Authors:	Kolsrud, Dag
Publisher:	Oslo : Norges Bank
Subject:	forward-looking models \| rational expectations \| simultaneous equation systems \| stochastic simulation

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Series:	Working Paper ; 2001/9
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	82-7553-185-3
Other identifiers:	hdl:10419/209798 [Handle] hdl:11250/2498712 [Handle]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; C63 - Computational Techniques
Source:	EconStor

Persistent link: https://www.econbiz.de/10012143587