Symbolic stationarization of dynamic equilibrium models

Arbeitspapier

Dynamic equilibrium models are specifted to track time series with unit root-like behavior. Thus, unit roots are typically introduced and the optimality conditions adjusted. This step requires tedious algebra and often leads to algebraic mistakes, especially in models with several unit roots. We propose a symbolic algorithm that simpliftes the step of rendering non-stationary models stationary. It is easy to implement and works when trends are stochastic or deterministic, exogenous or endogenous. Three examples illustrate the mechanics and the properties of the approach. A comparison with existing methods is provided.

Angaben zum Objekt

• ISBN: 978-82-8379-217-1
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 18/2021

Klassifikation und Themen

• Klassifikation: Wirtschaft
• Thema: DSGE models ; unit roots ; endogenous growth ; symbolic computation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Canova, Fabio ; Paulsen, Kenneth Sæterhagen
• Ereignis: Veröffentlichung
• (wer): Norges Bank
• (wo): Oslo
• (wann): 2021

Weitere Informationen

• Handle: http://hdl.handle.net/10419/264937
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ