Narrow search
Showing 1 - 10 of 17,342
Cover Image
Computation of business-cycle models with the Generalized Schur Method
Heer, Burkhard; Maußner, Alfred - 2009
We describe an algorithm that is able to compute the solution of a singular linear difference system under rational … expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example. -- stochastic dynamic … general equilibrium ; linear solution methods ; algorithm ; Generalized Schur factorization ; business cycles …
Persistent link: https://www.econbiz.de/10003922867
Cover Image
Computation of Business-Cycle Models with the Generalized Schur Method
Heer, Burkhard - 2009
We describe an algorithm that is able to compute the solution of a singular linear difference system under rational … expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example …
Persistent link: https://www.econbiz.de/10013153227
Cover Image
Approximation Errors of Perturbation Methods in Solving a Class of Dynamic Stochastic General Equilibrium Models
Liu, Xuan - 2013
We establish the standard procedures in solving a class of dynamic stochastic general equilibrium models with a second-order approximation to the policy function. The innovation is that the means of exogenous shocks vary with the variances. The numerical results show that second-order...
Persistent link: https://www.econbiz.de/10013091188
Cover Image
Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison
Cozzi, Marco - 2014
This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...
Persistent link: https://www.econbiz.de/10010434845
Cover Image
Firms' heterogeneity, endogenous entry, and exit decisions
Totzek, Alexander - 2009
As GDP is highly correlated with both entering and exiting firms, we develop a totally microfounded DSGE model with endogenous firms entry as well as exit decisions. We show that the simplifying assumption of a constant firms' death rate made by the recent literature on DSGE modelling can lead...
Persistent link: https://www.econbiz.de/10010299744
Cover Image
Solution Strategies of Dynamic Stochastic General Equilibrium (DSGE) Models
Alali, Dr Walid Y - 2023
DSGE models are the main tool for analysing various questions in problems of monetary, business cycle theory and fiscal policy problems, growth and other fields in international macroeconomics and macroeconomics. Many macroeconomic publications use the DSGE framework. A consensus has been...
Persistent link: https://www.econbiz.de/10014260473
Cover Image
Decomposing risk in dynamic stochastic general equilibrium
Lan, Hong; Meyer-Gohde, Alexander - 2013 - This Version: April 16, 2013
We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes a time-varying risk adjustment channel that induces variability in...
Persistent link: https://www.econbiz.de/10009738238
Cover Image
Decomposing risk in dynamic stochastic general equilibrium : conference paper
Lan, Hong; Meyer-Gohde, Alexander - 2014 - This version: December 19, 2013
We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time-varying risk adjustment channel that induces...
Persistent link: https://www.econbiz.de/10010487749
Cover Image
Firms' heterogeneity, endogenous entry, and exit decisions
Totzek, Alexander - 2009
As GDP is highly correlated with both entering and exiting firms, we develop a totally microfounded DSGE model with endogenous firms entry as well as exit decisions. We show that the simplifying assumption of a constant firms' death rate made by the recent literature on DSGE modelling can lead...
Persistent link: https://www.econbiz.de/10003914203
Cover Image
JBendge : an object-oriented system for solving, estimating and selecting nonlinear dynamic models
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
is done by a parallel Metropolis-Hastings (MH) algorithm using a linear or nonlinear state space filters. Implemented are …
Persistent link: https://www.econbiz.de/10003727355