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Author: Charles H. Whiteman
Publisher: U of Minnesota Press
ISBN: 1452907935
Category : Business & Economics
Languages : en
Pages : 151
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Languages : en
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A solution method is derived in this paper for solving a system of linear rational-expectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of a Generalized Schur Decomposition familiar elsewhere in the literature and a simple system of linear equations when lagged expectations are present to the infinite MA representation. Execution is faster, applicability more general, and use more straight-forward than with existing algorithms. Current methods of truncating lagged expectations are shown to not generally be innocuous and the use of such methods are rendered obsolete by the tremendous gains in computational efficiency of the method here which allows for a solution to floating-point accuracy in a fraction of the time required by standard methods. The associated computational application of the method provides impulse responses to anticipated and unanticipated innovations, simulations, and frequency-domain and simulated moments. -- Lagged expectations ; linear rational expectations models; block tridiagonal ; Generalized Schur Form ; QZ decomposition ; LAPACK
Author: Charles H. Whiteman
Publisher: U of Minnesota Press
ISBN: 1452907935
Category : Business & Economics
Languages : en
Pages : 151
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Book Description
Author: Adam Cagliarini
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 24
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Author: Gary A. Anderson
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 62
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Category :
Languages : en
Pages :
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"This paper compares the functionality, accuracy, computational efficiency, and practicalities of alternative approaches to solving linear rational expectations models, including the procedures of (Sims, 1996), (Anderson and Moore, 1983), (Binder and Pesaran, 1994), (King and Watson, 1998), (Klein, 1999), and (Uhlig, 1999). While all six prcedures yield similar results for models with a unique stationary solution, the AIM algorithm of (Anderson and Moore, 1983) provides the highest accuracy; furthermore, this procedure exhibits significant gains in computational efficiency for larger-scale models"--Federal Reserve Board web site.
Author: L. Broze
Publisher: Routledge
ISBN: 1136457739
Category : Business & Economics
Languages : en
Pages : 134
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A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.
Author: Jae Won Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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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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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: Lars Peter Hansen
Publisher: CRC Press
ISBN: 1000308960
Category : Mathematics
Languages : en
Pages : 294
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Book Description
At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents' knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling. This volume consists of work by two rational expectations pioneers dealing with the "nuts and bolts" problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.
Author: Michael Mussa
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 38
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Using variants of a modified version of Dornbusch's model of price level and exchange rate dynamics, it is demonstrated that satisfaction of the formal condition for existence of a unigue non-explosive solution of a linear rational expectations model with forward and backward looking dynamic processes (equality of the number of stable roots with the number of independent backward looking processes) does not guarantee the economic sensibility of this solution, even if one accepts the usual arguments for excluding "speculative babbles" from the solutions of such models. Moreover, satisfaction of the formal condition for existence of an infinity of non-explosive solutions for such rational expectations models (more stable roots than independent backward looking processes) does not assure that any of these solutions is economically sensible.
