Formulating and estimating dynamic linear rational expectations models
نویسندگان
چکیده
منابع مشابه
Recursive Solution Methods for Dynamic Linear Rational Expectations Models*
This paper develops recursive solution methods for linear rational expectations models. The underlying structural model is transformed into a state-space representation, which can then be used to solve the model and to form the Gaussian likelihood function. The recursive solution method has several advantages over other approaches. First, the set of solutions to the model are summarized by a se...
متن کاملSolving Non-Linear Rational Expectations Models
A general framework for describing non-linear rational expectation models is developed that involves state variables, response variables and expectation variables. The solution to such models can be expressed in terms of a response function or an expectation function. Computational methods for solving such models involve approximating one of these functions. Alternative methods are characterize...
متن کاملSolving Generalized Multivariate Linear Rational Expectations Models∗
We generalize the linear rational expectations solution method of Whiteman (1983) to the multivariate case. This facilitates the use of a generic exogenous driving process that must only satisfy covariance stationarity. Multivariate cross-equation restrictions linking the Wold representation of the exogenous process to the endogenous variables of the rational expectations model are obtained. We...
متن کاملLinear Quadratic Optimization for Models with Rational Expectations and Learning
In this paper we present a method for using rational expectations in a linearquadratic optimization framework with learning. We present a method that allows a policy maker to derive an optimal policy in the presence of rational expectations and the possibility of parameter drift. In this fashion the Lucas critique can be mitigated.
متن کاملState-Dependent Probability Distributions in Non Linear Rational Expectations Models∗
In this paper, we solve a large class of non-linear rational expectations models with regime switching, i.e. recurring shifts in parameters. The regime-switches and the shocks may follow state-dependent probability distributions. First, we provide sufficient conditions for the existence of a unique stable equilibrium using a perturbation approach. Then, we provide Taylor expansions of the solut...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 1980
ISSN: 0165-1889
DOI: 10.1016/0165-1889(80)90012-3