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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)
New Economics Papers: this item is included in nep-cmp, nep-dge, nep-ecm and nep-ore
Date: 2016-09
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