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Solving and estimating indeterminate DSGE models

Author: Roger E A Farmer; Vadim Khramov; International Monetary Fund. Office of the Executive Director for the Russian Federation.
Publisher: [Washington, D.C.] : Internatonal Monetary Fund, ©2013.
Series: IMF working paper, WP/13/200.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
"We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms.  Read more...
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Genre/Form: Electronic books
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Roger E A Farmer; Vadim Khramov; International Monetary Fund. Office of the Executive Director for the Russian Federation.
ISBN: 9781484342657 1484342658
OCLC Number: 864198552
Notes: Title form PDF title page (IMF Web site, viewed Nov. 26, 2013).
"Office of Executive Director for the Russian Federation"--Page 2 of pdf.
"October 2013"--Page 2 of pdf.
Description: 1 online resource (30 pages).
Series Title: IMF working paper, WP/13/200.
Responsibility: Roger E.A. Farmer, Vadim Khramov.

Abstract:

"We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice"--Abstract.

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