A Robust and Efficient Method for Solving Nonlinear Rational Expectations Models PDF Download
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Author: Mr.Douglas Laxton
Publisher: International Monetary Fund
ISBN: 1451947143
Category : Business & Economics
Languages : en
Pages : 30
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Book Description
The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of a new algorithm that is used for solving MULTIMOD, the IMF’s multicountry model of the world economy. This algorithm is considerably faster and much less prone to simulation failures than to traditional algorithms and can also be used to solve individual country models of the same size.
Author: Mr.Douglas Laxton
Publisher: International Monetary Fund
ISBN: 1451947143
Category : Business & Economics
Languages : en
Pages : 30
Get Book Here
Book Description
The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of a new algorithm that is used for solving MULTIMOD, the IMF’s multicountry model of the world economy. This algorithm is considerably faster and much less prone to simulation failures than to traditional algorithms and can also be used to solve individual country models of the same size.
Author: Douglas Laxton
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
Get Book Here
Book Description
The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of a new algorithm that is used for solving MULTIMOD, the IMF`s multicountry model of the world economy. This algorithm is considerably faster and much less prone to simulation failures than to traditional algorithms and can also be used to solve individual country models of the same size.
Author: Michel JUILLARD
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Jeffrey C. Fuhrer
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 54
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Book Description
Author:
Publisher:
ISBN:
Category : Finance
Languages : en
Pages : 588
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Book Description
Author: Jeffrey C. Fuhrer
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 32
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Book Description
Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 504
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Book Description
Author: Fuhrer
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 32
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Book Description
Author: Jianjun Miao
Publisher: MIT Press
ISBN: 0262325608
Category : Business & Economics
Languages : en
Pages : 737
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Book Description
A unified, comprehensive, and up-to-date introduction to the analytical and numerical tools for solving dynamic economic problems. This book offers a unified, comprehensive, and up-to-date treatment of analytical and numerical tools for solving dynamic economic problems. The focus is on introducing recursive methods—an important part of every economist's set of tools—and readers will learn to apply recursive methods to a variety of dynamic economic problems. The book is notable for its combination of theoretical foundations and numerical methods. Each topic is first described in theoretical terms, with explicit definitions and rigorous proofs; numerical methods and computer codes to implement these methods follow. Drawing on the latest research, the book covers such cutting-edge topics as asset price bubbles, recursive utility, robust control, policy analysis in dynamic New Keynesian models with the zero lower bound on interest rates, and Bayesian estimation of dynamic stochastic general equilibrium (DSGE) models. The book first introduces the theory of dynamical systems and numerical methods for solving dynamical systems, and then discusses the theory and applications of dynamic optimization. The book goes on to treat equilibrium analysis, covering a variety of core macroeconomic models, and such additional topics as recursive utility (increasingly used in finance and macroeconomics), dynamic games, and recursive contracts. The book introduces Dynare, a widely used software platform for handling a range of economic models; readers will learn to use Dynare for numerically solving DSGE models and performing Bayesian estimation of DSGE models. Mathematical appendixes present all the necessary mathematical concepts and results. Matlab codes used to solve examples are indexed and downloadable from the book's website. A solutions manual for students is available for sale from the MIT Press; a downloadable instructor's manual is available to qualified instructors.
Author: Jeffrey C. Fuhrer
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This paper presents new, computationally efficient algorithms for solution and estimation of nonlinear dynamic rational expectations models. The innovations in the algorithms are as follows: (1) The entire solution path is obtained simultaneously by taking a small number of Newton steps, using analytic derivatives, over the entire path; (2) The terminal conditions for the solution path are derived from the uniqueness and stability conditions from the linearization of the model around the terminus of the solution path; (3) Unit roots are allowed in the model; (4) Very general models with expectational identities and singularities of the type handled by the King-Watson (1995a,b) linear algorithms are also allowed; and (5) Rank- deficient covariance matrices that arise owing to the presence of expectational identities are admissible. Reasonably complex models are solved in less than a second on a Sun Sparc20. This speed improvement makes derivative- based estimation methods feasible. Algorithms for maximum likelihood estimation and sample estimation problems are presented.
