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  • Search: subject:"Multiple MSV equilibria"
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E-stability 1 Iterative algorithm 1 Likelihood principle 1 Multiple MSV equilibria 1 Policy changes 1 Quadratic polynomial 1
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Farmer, Roger E.A. 1 Waggoner, Daniel F. 1 Zha, Tao 1
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Journal of Economic Dynamics and Control 1
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Minimal state variable solutions to Markov-switching rational expectations models
Farmer, Roger E.A.; Waggoner, Daniel F.; Zha, Tao - In: Journal of Economic Dynamics and Control 35 (2011) 12, pp. 2150-2166
We develop a new method for deriving minimal state variable (MSV) equilibria of a general class of Markov switching rational expectations models and a new algorithm for computing these equilibria. We compare our approach to previously known algorithms, and we demonstrate that ours is both...
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