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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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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: Bennett T. McCallum
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 8
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Book Description
An elementary exposition is presented of a convenient and practical solution procedure for a broad class of linear rational expectations models. The undetermined-coefficient approach utilized keeps the mathematics very simple and permits consideration of alternative solution criteria
Author: L. Broze
Publisher: Routledge
ISBN: 1136457739
Category : Business & Economics
Languages : en
Pages : 134
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Book Description
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: L. Broze
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
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Author: Michael Mussa
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 38
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Book Description
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.
Author: Michael K. Salemi
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Olivier J. Blanchard
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 38
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Book Description
Many methods have been proposed for the solution and simulation of medium or large size models under the assumption of rational expectations. The purpose of this paper is to present these methods, and to show how and where each can be applied. The methods fall into two groups. Methods in the first can be used to solve for perfect foresight paths in non-linear models. Methods in the second can be used in linear models, to solve either for paths or processes followed by endogenous variables. All the methods described here have been used in empirical applications and computer algorithms are available for most.
Author:
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Category :
Languages : en
Pages :
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Book Description
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: Michael Binder
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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Author: Mark W. Watson
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 31
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