'No.' So says one model that is broadly consistent with postwar U.S. seasonal and business cycle data.

The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A,B,C,D) that define a state space system. An associated state space system (A,K,C,Sigma) determines a vector autoregression for observables available to an econometrician. We review...

This paper derives a second-order approximation to the solution of a general class of discrete- time rational expectations models. The main theoretical contribution of the paper is to show that for any model belonging to the general class considered, the coefficients on the terms linear and...

This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided.

This paper considers the possibility that, in linear rational expectations (RE) models, all determinate (uniquely non-explosive) solutions coincide with the minimum state variable (MSV) solution, which is unique by construction. In univariate specifications of the form y(t) = AE(t)y(t+1) +...

I present an undetermined coefficients method for obtaining a linear approximating to the solution of a dynamic, rational expectations model. I also show how that solution can be used to compute the model's implications for impulse response functions and for second moments.

Many recent theoretical papers have come under attack for modeling prices as Geometric Brownian Motion. This process can diverge over time, implying that firms facing this price process can earn infinite profits. We explore the significance of this attack and contrast investment under Geometric...

We describe and compare several algorithms for approximating the solution to a model in" which inequality constraints occasionally bind. Their performance is evaluated and compared" using various parameterizations of the one sector growth model with irreversible investment. We" develop...

This paper studies the econometric problems associated with estimation of a stochastic process that is endogenously sampled. Our interest is to infer the law of motion of a discrete-time stochastic process {pt} that is observed only at a subset of times {t1,..., tn} that depend on the outcome of...