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In an environment where economic structures break, variances change, distributions shift, conventional policies weaken and past events tend to reoccur, economic agents have to form expectations over different regimes. This makes the regime-switching dynamic stochastic general equilibrium...
Persistent link: https://www.econbiz.de/10013023295
computationally efficient filtering algorithm to estimate the nonlinear model. The algorithm is shown to be accurate in approximating …
Persistent link: https://www.econbiz.de/10013241820
The aim of the following paper is to present a derivative based algorithm, which is able to solve calibration problems … for complicated DSGE models. Our algorithm is based on considerations that were mainly done during the 80s, when the … calibration of those models. Such an algorithm is developed in this paper …
Persistent link: https://www.econbiz.de/10013053643
computationally efficient filtering algorithm to estimate the non-linear model. Calculations are greatly simplified by appropriate … augmentation of the transition equation and exploiting the conditionally linear and Gaussian structure. The algorithm is shown to …
Persistent link: https://www.econbiz.de/10012897234
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This paper provides a general representation of endogenous and threshold-based regime switching models and develops an efficient numerical solution method. The regime-switching is triggered endogenously when some variables cross threshold conditions that can themselves be regime-dependent. We...
Persistent link: https://www.econbiz.de/10013245487
Persistent link: https://www.econbiz.de/10012223866
This paper provides a general representation of endogenous and threshold-based regime switching models and develops an efficient numerical solution method. The regime-switching is triggered endogenously when some variables cross threshold conditions that can themselves be regime-dependent. We...
Persistent link: https://www.econbiz.de/10014241370