Solving Dynamic General Equilibrium Models Using A Second Order Approximation To The Policy Function
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Solving Dynamic General Equilibrium Models Using A Second Order Approximation To The Policy Function
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Author : Stephanie Schmitt-Grohé
language : en
Publisher:
Release Date : 2001
Solving Dynamic General Equilibrium Models Using A Second Order Approximation To The Policy Function written by Stephanie Schmitt-Grohé and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Approximation theory categories.
This paper derives a second-order approximation to the solution of a general class of discrete- time rational expectations models. The main theoretical contribution of the paper is to show that for any model belonging to the general class considered, the coefficients on the terms linear and quadratic in the state vector in a second-order expansion of the decision rule are independent of the volatility of the exogenous shocks. In other words, these coefficients must be the same in the stochastic and the deterministic versions of the model. Thus, up to second order, the presence of uncertainty affects only the constant term of the decision rules. In addition, the paper presents a set of MATLAB programs designed to compute the coefficients of the second-order approximation. The validity and applicability of the proposed method is illustrated by solving the dynamics of a number of model economies.
Solving Dynamic General Equilibrium Models Using A Second Order Approximation To The Policy Function To The Policy Function
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Author : Stephanie Schmitt-Grohe
language : en
Publisher:
Release Date : 2001
Solving Dynamic General Equilibrium Models Using A Second Order Approximation To The Policy Function To The Policy Function written by Stephanie Schmitt-Grohe and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Economics categories.
Solving Dynamic General Equilibrium Models Using A Second Order Approximation To The Policy Function
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Author : Stephanie Schmitt-Grohé
language : en
Publisher:
Release Date : 2008
Solving Dynamic General Equilibrium Models Using A Second Order Approximation To The Policy Function written by Stephanie Schmitt-Grohé and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This paper derives a second-order approximation to the solution of a general class of discrete-time rational expectations models. The main theoretical contribution of the paper is to show that for any model belonging to the general class considered, the coefficients on the terms linear and quadratic in the state vector in a second-order expansion of the decision rule are independent of the volatility of the exogenous shocks. In other words, these coefficients must be the same in the stochastic and the deterministic versions of the model. Thus, up to second order, the presence of uncertainty affects only the constant term of the decision rules. In addition, the paper presents a set of MATLAB programs designed to compute the coefficients of the second-order approximation. The validity and applicability of the proposed method is illustrated by solving the dynamics of a number of model economies.
Solving Dynamic General Equilibrium Models Using A Second Order Appromimation To The Policy Function
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Author : Stephanie Schmitt-Grohe
language : en
Publisher:
Release Date : 2001
Solving Dynamic General Equilibrium Models Using A Second Order Appromimation To The Policy Function written by Stephanie Schmitt-Grohe and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Approximation theory categories.
A Simple Second Order Solution Method For Dynamic General Equilibrium Models
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Author : Alan Sutherland
language : en
Publisher:
Release Date : 2002
A Simple Second Order Solution Method For Dynamic General Equilibrium Models written by Alan Sutherland and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Economics categories.
Solving Dynamic General Equilibrium Models Using A Second Order Approximation To The Policy Funcion
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Author : Stephanie Schmitt Grohé
language : en
Publisher:
Release Date : 2001
Solving Dynamic General Equilibrium Models Using A Second Order Approximation To The Policy Funcion written by Stephanie Schmitt Grohé and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Calculating And Using Second Order Accurate Solutions Of Discrete Time Dynamic Equilibrium Models
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Author :
language : en
Publisher:
Release Date : 2003
Calculating And Using Second Order Accurate Solutions Of Discrete Time Dynamic Equilibrium Models written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Equilibrium (Economics) categories.
General Equilibrium Models For The Chilean Economy
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Author : Rómulo Chumacero Escudero
language : en
Publisher:
Release Date : 2005
General Equilibrium Models For The Chilean Economy written by Rómulo Chumacero Escudero and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Chile categories.
Estimating Affine Multifactor Term Structure Models Using Closed Form Likelihood Expansions
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Author : Yacine Aït-Sahalia
language : en
Publisher:
Release Date : 2002
Estimating Affine Multifactor Term Structure Models Using Closed Form Likelihood Expansions written by Yacine Aït-Sahalia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Affine algebraic groups categories.
We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nine Dai and Singleton (2000) affine models. Simulations show our technique very accurately approximates true (but infeasible) MLE. Using US Treasury data, we estimate nine affine yield models with different market price of risk specifications. MLE allows non-nested model comparison using likelihood ratio tests; the preferred model depends on the market price of risk. Estimation with simulated and real data suggests our technique is much closer to true MLE than Euler and quasi-maximum likelihood (QML) methods.
Aanwinsten Van De Centrale Bibliotheek Queteletfonds
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Author : Bibliothèque centrale (Fonds Quetelet)
language : en
Publisher:
Release Date : 2002
Aanwinsten Van De Centrale Bibliotheek Queteletfonds written by Bibliothèque centrale (Fonds Quetelet) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.