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FiPIt : a simple, fast global method for solving models with two endogenous states & occasionally binding constraints

Mendoza, Enrique G.; Villalvazo, Sergio - In: Review of economic dynamics 37 (2020), pp. 81-102

Persistent link: https://www.econbiz.de/10012652863

Piecewise-linear approximations and filtering for DSGE models with occasionally-binding constraints

Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - In: Review of economic dynamics 41 (2021), pp. 96-120

Persistent link: https://www.econbiz.de/10012872924

Piecewise-linear approximations and filtering for DSGE models with occasionally binding constraints

Aruoba, S. Borağan; Cuba-Borda, Pablo; Higa-Flores, Kenji - 2020 - Current version: October 9, 2020

Persistent link: https://www.econbiz.de/10013206020

Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints

Aruoba, S. Borağan - 2020

We develop an algorithm to construct approximate decision rules that are piecewise-linear and continuous for DSGE models with an occasionally binding constraint. The functional form of the decision rules allows us to derive a conditionally optimal particle filter (COPF) for the evaluation of the...

Persistent link: https://www.econbiz.de/10012482211