Solving and estimating indeterminate DSGE models /

Solving and estimating indeterminate DSGE models /

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Bibliographic Details
Author / Creator:	Farmer, Roger E. A., author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2013.
Description:	1 online resource (30 pages)
Language:	English
Series:	IMF working paper ; WP/13/200 IMF working paper ; WP/13/200.
Subject:	Rational expectations (Economic theory) -- Econometric models. Econometric models. Econometric models. Rational expectations (Economic theory) -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12502206

Hidden Bibliographic Details
Other authors / contributors:	Khramov, Vadim, author. International Monetary Fund. Office of the Executive Director for the Russian Federation, issuing body.
ISBN:	9781484342657 1484342658 9781475589214 1475589212 9781475517835 1475517831
Notes:	Title form PDF title page (IMF Web site, viewed November 26, 2013). "Office of Executive Director for the Russian Federation"--Page 2 of pdf "October 2013"--Page 2 of pdf Includes bibliographical references (pages 25-27).
Summary:	"We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice"--Abstract
Other form:	Print version: Farmer, Roger. Solving and estimating indeterminate DSGE models. [Washington, District of Columbia] : International Monetary Fund, ©2013 29 pages IMF working paper ; WP/13/200 9781475589214

Table of Contents:

Cover
Solving and Estimating Indeterminate DSGE Models
Abstract
1 Introduction
2 Related Literature
3 Solving LRE Models
3.1 The QZ Decomposition
3.2 Using the QZ decomposition to solve the model
3.3 The Indeterminate Case
4 Choice of Expectational Errors
5 Example: A Simple New-Keynesian Model
5.1 The Determinate Case
5.2 The Indeterminate Case
6 Implementing our Procedure in Dynare
7 A Model Selection Criterion
8 Conclusion
Appendix A
References