Dennis, Richard J. (contributor) - 2001 - [Elektronische Ressource]
innovations. A
0
, A
1
, A
2
, and A
3
are matrices of policy- and time-invariant coefficients. The variance-covariance matrix Σ …, y
t-1
, and the vector of innovations, v
t
. Accordingly it
is these variables that form the basis of the policy rule …-covariance matrix of the stochastic
innovations.
Computationally, this fixed point can be solved for as follows. Given values of ϕ
1 …