The Library
Solving and estimating indeterminate DSGE models
Tools
Farmer, Roger E. A., Khramov, Vadim and Nicolò, Giovanni (2015) Solving and estimating indeterminate DSGE models. Journal of Economic Dynamics and Control, 54 . pp. 17-36. doi:10.1016/j.jedc.2015.02.012 ISSN 0165-1889.
|
PDF
WRAP-Solving-estimating-indeterminate-DSGE-models-Farmer-2015.pdf - Accepted Version - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (661Kb) | Preview |
Official URL: http://dx.doi.org/10.1016/j.jedc.2015.02.012
Abstract
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 prove that our method is equivalent to the solution method proposed by Lubik and Schorfheide (2003, 2004), and using the New-Keynesian model described in Lubik and Schorfheide (2004), we demonstrate how to apply our theoretical results with a practical exercise.
Item Type: | Journal Article | ||||||||
---|---|---|---|---|---|---|---|---|---|
Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
||||||||
Divisions: | Faculty of Social Sciences > Economics | ||||||||
Library of Congress Subject Headings (LCSH): | Rational expectations (Economic theory) -- Mathematical models | ||||||||
Journal or Publication Title: | Journal of Economic Dynamics and Control | ||||||||
Publisher: | Elsevier BV | ||||||||
ISSN: | 0165-1889 | ||||||||
Official Date: | May 2015 | ||||||||
Dates: |
|
||||||||
Volume: | 54 | ||||||||
Page Range: | pp. 17-36 | ||||||||
DOI: | 10.1016/j.jedc.2015.02.012 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 20 July 2018 | ||||||||
Date of first compliant Open Access: | 20 July 2018 |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year