Arbeitspapier
Perturbation methods for Markov-switching DSGE models
This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter space so that a steady state is well defined. With this definition, we show that the problem of finding an approximation of any order can be reduced to solving a system of quadratic equations. We propose using the theory of Grobner bases in searching all the solutions to the quadratic system. This approach allows us to obtain all the approximations and ascertain how many of them are stable. Our methodology is applied to three models to illustrate its feasibility and practicality.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2013-1
- Klassifikation
-
Wirtschaft
- Thema
-
Markov-switching parameters
partition
higher order approximations
no certainty equivalence
quadratic system
Grobner bases
Dynamisches Gleichgewicht
Markovscher Prozess
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Foerster, Andrew
Rubio-Ramírez, Juan
Waggoner, Daniel F.
Zha, Tao
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, GA
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Foerster, Andrew
- Rubio-Ramírez, Juan
- Waggoner, Daniel F.
- Zha, Tao
- Federal Reserve Bank of Atlanta
Entstanden
- 2013
Ähnliche Objekte (12)
Perturbation methods for Markov-switching DSGE models
Efficient Perturbation Methods for Solving Regime-Switching DSGE Models
Four Essays on Markov-Switching DSGE and Markov-Switching VAR Models
Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
Pruning in Perturbation DSGE Models
Perturbation methods
Markov-switching proxy BVARs
A Markov Switching Cookbook
Methods for inference in large multiple-equation Markov-switching models
The term structure of interest rates in a small open economy DSGE model with Markov switching
The Markov switching ACD model
Perturbation methods for Markov-switching DSGE models
Efficient Perturbation Methods for Solving Regime-Switching DSGE Models
Four Essays on Markov-Switching DSGE and Markov-Switching VAR Models
Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
Pruning in Perturbation DSGE Models
Perturbation methods
Markov-switching proxy BVARs
A Markov Switching Cookbook
Methods for inference in large multiple-equation Markov-switching models
The term structure of interest rates in a small open economy DSGE model with Markov switching
The Markov switching ACD model
Perturbation methods for Markov-switching DSGE models
Efficient Perturbation Methods for Solving Regime-Switching DSGE Models
Four Essays on Markov-Switching DSGE and Markov-Switching VAR Models
Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
Pruning in Perturbation DSGE Models
Perturbation methods
Markov-switching proxy BVARs
A Markov Switching Cookbook
Methods for inference in large multiple-equation Markov-switching models
The term structure of interest rates in a small open economy DSGE model with Markov switching