Farmer, Roger E.A.; Waggoner, Daniel F.; Zha, Tao - In: Journal of Economic Dynamics and Control 35 (2011) 12, pp. 2150-2166
We develop a new method for deriving minimal state variable (MSV) equilibria of a general class of Markov switching rational expectations models and a new algorithm for computing these equilibria. We compare our approach to previously known algorithms, and we demonstrate that ours is both...