A Comparison of Alternative Solution Methods for the Linear Rational Expectations Model PDF Download

Author: Wanpyo Son
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 268

View

Book Description

Author: John B. Taylor
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 68

View

Book Description
The purpose of this paper is to report on a comparison of several alternative numerical solution techniques for nonlinear rational expectations models. The comparison was made by asking individual researchers to apply their different solution techniques to a simple representative agent, optimal, stochastic growth model. Decision rules as well as simulated time series are compared. The differences among the methods turned out to be quite substantial for certain aspects of the growth model. Therefore, researchers might want to be careful not to rely blindly on the results of any chosen numerical solution method in applied work.

Author: Charles H. Whiteman
Publisher: U of Minnesota Press
ISBN: 1452907935
Category : Business & Economics
Languages : en
Pages : 151

View

Book Description

Author: Bennett T. McCallum
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 8

View

Book Description
An elementary exposition is presented of a convenient and practical solution procedure for a broad class of linear rational expectations models. The undetermined-coefficient approach utilized keeps the mathematics very simple and permits consideration of alternative solution criteria

Author: Jess Gaspar
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 60

View

Book Description

Author: Olivier J. Blanchard
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 38

View

Book Description
Many methods have been proposed for the solution and simulation of medium or large size models under the assumption of rational expectations. The purpose of this paper is to present these methods, and to show how and where each can be applied. The methods fall into two groups. Methods in the first can be used to solve for perfect foresight paths in non-linear models. Methods in the second can be used in linear models, to solve either for paths or processes followed by endogenous variables. All the methods described here have been used in empirical applications and computer algorithms are available for most.

Author: Lars Peter Hansen
Publisher: CRC Press
ISBN: 1000237087
Category : Mathematics
Languages : en
Pages : 305

View

Book Description
At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents' knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling. This volume consists of work by two rational expectations pioneers dealing with the "nuts and bolts" problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.

Author: Seonghoon Cho
Publisher:
ISBN:
Category :
Languages : en
Pages : 43

View

Book Description
This paper generalizes the standard forward method of recursive substitution to a general class of linear Rational Expectations models with potentially multiple fundamental solutions. We propose a key property embedded in the forward solution -- the no-bubble condition -- as an economically sensible solution refinement in the class of fundamental solutions. In the literature, the no-bubble condition has been assumed to rule out non-fundamental bubble solutions. However, since the condition involves expectations of the future endogenous variables, it must be verified for every Rational Expectations equilibrium. We show that the forward solution is the only fundamental solution satisfying the no-bubble condition and that it is hard to justify economically fundamental solutions violating this condition. We provide several economic examples where the fundamental solutions obtained by other solution methods and refined by other solution selection criteria violate the no-bubble condition.

Author: Peter B. Dixon
Publisher: Newnes
ISBN: 044462631X
Category : Business & Economics
Languages : en
Pages : 1886

View

Book Description
Top scholars synthesize and analyze scholarship on this widely used tool of policy analysis in 27 articles, setting forth its accomplishments, difficulties, and means of implementation. Though CGE modeling does not play a prominent role in top U.S. graduate schools, it is employed universally in the development of economic policy. This collection is particularly important because it presents a history of modeling applications and examines competing points of view. - Presents coherent summaries of CGE theories that inform major model types - Covers the construction of CGE databases, model solving, and computer-assisted interpretation of results - Shows how CGE modeling has made a contribution to economic policy

Author: Shu-Heng Chen
Publisher: Oxford University Press
ISBN: 0199844380
Category : Business & Economics
Languages : en
Pages : 785

View

Book Description
The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.