Andreasen, Martin M.; Fernández-Villaverde, Jesús; … - School of Economics and Management, University of Aarhus - 2013
This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for ?first and second unconditional moments and...