A Toolbox for the Numerical Study of Linear Dynamic Rational Expectations Models

P. Marcelo Oviedo ()

GE, Growth, Math methods from University Library of Munich, Germany

Abstract: By simplifying the computational tasks and by providing step-by-step explanations of the procedures required to study a linear dynamic rational expectations (LDRE) model, this paper and the accompanying ``LDRE Toolbox' of Matalb functions guide a researcher with almost no experience in computational work to resolve and study his own model. After coding the model following specific guidelines, a single function call is all that is needed to log-linearize the model; simulate it under exogenous sequences of shocks; compute sample and population moment conditions; and obtain impulse-response functions. Three classical models in the Real-Business-Cycles literature are solved and studied throughout to give detailed examples of the steps involved in solving and studying LDRE models using the LDRE Toolbox. Namely, the economies in Brock and Mirman (Optimal Growth and Uncertainty: the Discounted Case, Journal of Economic Theory, 4(3): 479-513; 1972); King, Plosser, and Rebelo (Production, Growth and Business Cycles I: The Basic Neoclassical Model, Journal of Monetary Economics 21: 195-232; 1988); and Mendoza (Real Business Cycles in a Small Open Economy, American Economic Review 81(4): 797-818; 1991).

Keywords: RBC models; Solution method; Toolbox of Matlab functions; Log- linear approximation techniques (search for similar items in EconPapers)
JEL-codes: C63 C68 E32 F41 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2005-01-26
New Economics Papers: this item is included in nep-bec, nep-cmp and nep-mac
Note: Type of Document - pdf; pages: 38
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: A Toolbox for the Numerical Study of Linear Dynamic Rational Expectations Models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpge:0501004

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