Arbeitspapier
Minimal state variable solutions to Markov-switching rational expectations models
We develop a new method for deriving minimal state variable (MSV) equilibria of a general class of Markov-switching rational expectations models and a new algorithm for computing these equilibria. We compare our approach to previously known algorithms, and we demonstrate that ours is both efficient and more reliable than previous methods in the sense that it is able to find MSV equilibria that previously known algorithms cannot. Further, our algorithm can find all possible MSV equilibria in models where there are multiple MSV equilibria. This feature is essential if one is interested in using a likelihood-based approach to estimation.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2008-23a
- Klassifikation
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Existence and Stability Conditions of Equilibrium
- Thema
-
regime switching
rational expectations
MSV
iterative algorithm
policy changes
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Farmer, Roger E. A.
Waggoner, Daniel F.
Zha, Tao
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, GA
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Farmer, Roger E. A.
- Waggoner, Daniel F.
- Zha, Tao
- Federal Reserve Bank of Atlanta
Entstanden
- 2010
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