| Description |
1 online resource (30 pages) |
| Series |
IMF working paper ; WP/13/200 |
|
IMF working paper ; WP/13/200.
|
| Contents |
Cover -- Solving and Estimating Indeterminate DSGE Models -- Abstract -- 1 Introduction -- 2 Related Literature -- 3 Solving LRE Models -- 3.1 The QZ Decomposition -- 3.2 Using the QZ decomposition to solve the model -- 3.3 The Indeterminate Case -- 4 Choice of Expectational Errors -- 5 Example: A Simple New-Keynesian Model -- 5.1 The Determinate Case -- 5.2 The Indeterminate Case -- 6 Implementing our Procedure in Dynare -- 7 A Model Selection Criterion -- 8 Conclusion -- Appendix A -- References |
| Summary |
"We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice"--Abstract |
| Notes |
Title form PDF title page (IMF Web site, viewed November 26, 2013) |
|
"Office of Executive Director for the Russian Federation"--Page 2 of pdf |
|
"October 2013"--Page 2 of pdf |
| Bibliography |
Includes bibliographical references (pages 25-27) |
| Subject |
Rational expectations (Economic theory) -- Econometric models
|
|
Econometric models.
|
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Econometric models
|
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Rational expectations (Economic theory) -- Econometric models
|
| Form |
Electronic book
|
| Author |
Khramov, Vadim, author
|
|
International Monetary Fund. Office of the Executive Director for the Russian Federation, issuing body.
|
| ISBN |
9781484342657 |
|
1484342658 |
|
9781475589214 |
|
1475589212 |
|
9781475517835 |
|
1475517831 |
|
