Parameterized expectations approach; Some practical issues

Albert Marcet and Guido Lorenzoni ()

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We discuss some practical issues related to the use of the Parameterized Expectations Approach (PEA) for solving non-linear stochastic dynamic models with rational expectations. This approach has been applied in models of macroeconomics, financial economics, economic growth, contract theory, etc. It turns out to be a convenient algorithm, especially when there is a large number of state variables and stochastic shocks in the conditional expectations. We discuss some practical issues having to do with the application of the algorithm, and we discuss a Fortran program for implementing the algorithm that is available through the internet. We discuss these issues in a battery of six examples.

Keywords: Numerical algorithm; rational expectations; stochastic difference equations; simulation (search for similar items in EconPapers)
JEL-codes: C60 C63 E10 (search for similar items in EconPapers)
Date: 1998-06
New Economics Papers: this item is included in nep-cmp, nep-dge, nep-ecm and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
https://econ-papers.upf.edu/papers/296.pdf Whole Paper (application/pdf)

Related works:
Software Item: The Parameterized Expectations Approach: Some Practical Issues (1998)
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:upf:upfgen:296

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).