Solving DSGE models with stochastic trends
No wps15, Bank of Russia Working Paper Series from Bank of Russia
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
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Persistent link: https://EconPapers.repec.org/RePEc:bkr:wpaper:wps15
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