Solving DSGE models with stochastic trends
Sergei Seleznev
No wps15, Bank of Russia Working Paper Series from Bank of Russia
Abstract:
We propose an algorithm for solving DSGE models with stochastic trends. Several implementations help us to solve the model with a small number of stochastic trends in the absence of a balanced growth path fast and allow us to control the accuracy of approximation in a certain range. Taking into account the fact that many implementations can be easily parallelized, this algorithm enables the estimation of models in the absence of a balanced growth path. We also provide a number of possible methods for estimation.
Keywords: Non-stationary DSGE; stochastic trends; Smolyak’s algorithm; perturbation method. (search for similar items in EconPapers)
JEL-codes: C61 C63 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2016-09
New Economics Papers: this item is included in nep-cmp, nep-dge, nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.cbr.ru/Content/Document/File/87564/wps_15_e.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bkr:wpaper:wps15
Access Statistics for this paper
More papers in Bank of Russia Working Paper Series from Bank of Russia Contact information at EDIRC.
Bibliographic data for series maintained by BoR Research ( this e-mail address is bad, please contact ).