Linear-Quadratic Solution Methods to Non-linear Stochastic Models: A Note

Maurice John Roche ()

The Manchester School of Economic & Social Studies, 1998, vol. 66, issue 1, pages 118-27

Abstract: Linear-quadratic solution methods to nonlinear stochastic rational-expectations models are described and compared. A closed economy real business cycle model is used as an illustration. The author's results show that all methods yield identical coefficients in the optimal decision rules. However, when solving other models some methods require only a few modifications to existing computer programs. Copyright 1998 by Blackwell Publishers Ltd and The Victoria University of Manchester

Date: 1998

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Persistent link: http://EconPapers.repec.org/RePEc:bla:manch2:v:66:y:1998:i:1:p:118-27

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