Solving the Stochastic Growth Model by Parameterizing Expectations

Wouter J den Haan and Albert Marcet
Authors registered in the RePEc Author Service: Wouter Denhaan ()

Journal of Business & Economic Statistics, 1990, vol. 8, issue 1, 31-34

Abstract: This article describes a method for solving the one-good stochastic growth model by parameterizing the expectations part of the stochastic Euler equation. The conditional expectation is specified as a function of the state of the system, and the parameters of that function are estimated to solve the model. The article includes a discussion of how to find the parameters of the function and determine systematically the complexity of the functional form necessary to solve the model.

Date: 1990
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Citations: View citations in EconPapers (216)

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Software Item: FORTRAN code for Simulation Parameterized Expecations Algorithm (1990)
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