Computing Second-Order-Accurate Solutions for Rational Expectation Models Using Linear Solution Methods

Giovanni Lombardo and Alan Sutherland ()

CDMA Conference Paper Series from Centre for Dynamic Macroeconomic Analysis

Abstract: This paper shows how to compute a second-order accurate solution of a non-linear rational expectation model using algorithms developed for the solution of linear rational expectation models. This result is a state-space representation for the realized values of the variables of the model. This state-space representation can easily be used to compute impulse responses as well as conditional and unconditional forecasts.

Keywords: Second-order approximation; solution method for rational expectation models. (search for similar items in EconPapers)
JEL-codes: E0 E63 (search for similar items in EconPapers)
Date: 2005-03
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-mac
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Citations: View citations in EconPapers (11)

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Related works:
Journal Article: Computing second-order-accurate solutions for rational expectation models using linear solution methods (2007)
Working Paper: Computing second-order-accurate solutions for rational expectation models using linear solution methods (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:san:cdmacp:0504

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