Computing second-order-accurate solutions for rational expectation models using linear solution methods

Alan Sutherland and Giovanni Lombardo

No 487, Working Paper Series from European Central Bank

Abstract: This paper shows how to compute a second-order accurate solution of a non-linear rational expectation model using algorithms developed for the solution of linear rational expectation models. The result is a state-space representation for the realized values of the variables of the model. This state-space representation can easily be used to compute impulse responses as well as conditional and unconditional forecasts. JEL Classification: C63, E0

Keywords: Second order approximation; Solution method for rational expectation models (search for similar items in EconPapers)
Date: 2005-05
Note: 656519
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp487.pdf (application/pdf)

Related works:
Journal Article: Computing second-order-accurate solutions for rational expectation models using linear solution methods (2007)
Working Paper: Computing Second-Order-Accurate Solutions for Rational Expectation Models Using Linear Solution Methods (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2005487

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().