Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099256 | Journal of Economic Dynamics and Control | 2008 | 18 Pages |
Abstract
We describe an algorithm for calculating second-order approximations to the solutions to nonlinear stochastic rational expectation models. The paper also explains methods for using such an approximate solution to generate forecasts, simulated time paths for the model, and evaluations of expected welfare differences across different versions of a model. The paper gives conditions for local validity of the approximation that allow for disturbance distributions with unbounded support and allow for non-stationarity of the solution process.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Jinill Kim, Sunghyun Kim, Ernst Schaumburg, Christopher A. Sims,