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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
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Related works:
Journal Article: Computing second-order-accurate solutions for rational expectation models using linear solution methods (2007) Downloads
Working Paper: Computing Second-Order-Accurate Solutions for Rational Expectation Models Using Linear Solution Methods (2005) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2005487

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