Calculating and using second order accurate solutions of discrete time dynamic equilibrium models

Jinill Kim, Sunghyun Kim (), Ernst Schaumburg and Christopher Sims ()

No 2003-61, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We describe an algorithm for calculating second order approximations to the solutions to nonlinear stochastic rational expectation models. The paper also explains methods for using such an approximate solution to generate forecasts, simulated time paths for the model, and evaluations of expected welfare differences across different versions of a model. The paper gives conditions for local validity of the approximation that allow for disturbance distributions with unbounded support and allow for non-stationarity of the solution process.

Keywords: Econometric models; Monetary policy (search for similar items in EconPapers)
Date: 2003
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-mac
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Citations: View citations in EconPapers (69)

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Related works:
Working Paper: Calculating and Using Second Order Accurate Solutions of Discrete Time Dynamic Equilibrium Models (2005)
Working Paper: Calculating and Using Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models (2004)
Working Paper: Calculating and Using Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models (2003)
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