Perturbation Methods for Markov-Switching DSGE Models

Tao Zha, Rubio-Ramírez, Juan Francisco, , and Andrew Foerster
Authors registered in the RePEc Author Service: Juan F Rubio-Ramirez and Daniel F. Waggoner

No 9464, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter space so that a steady state is well defined. With this definition, we show that the problem of definding an approximation of any order can be reduced to solving a system of quadratic equations. We propose using the theory of Grobner bases in searching all the solutions to the quadratic system. This approach allows us to obtain all the approximations and ascertain how many of them are stable. Our methodology is applied to three models to illustrate its feasibility and practicality.

Keywords: Dsge; Markov-switching; Perturbation (search for similar items in EconPapers)
JEL-codes: E17 E37 (search for similar items in EconPapers)
Date: 2013-05
New Economics Papers: this item is included in nep-dge and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Related works:
Journal Article: Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models (2016)
Working Paper: Perturbation methods for Markov-switching DSGE models (2014)
Working Paper: Perturbation Methods for Markov-Switching DSGE Models (2014)
Working Paper: Perturbation Methods for Markov-Switching DSGE Models (2013)
Working Paper: Perturbation methods for Markov-switching DSGE models (2013)
Working Paper: Perturbation methods for Markov-switching DSGE model (2013)
Working Paper: Perturbation Methods for Markov-Switching Models (2010)
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