We derive recursive representations of nonlinear moving average (NLMA) perturbations of DSGE models. As the stability … provide rigorous support for the practice of pruning that is becoming widespread. Our recursive representation differs from … state consistent with the order of approximation. We compare our algorithm with six different pruning algorithms at second …

We present a new approach to the approximation of equilibrium solutions to nonlinear rational expectations models that … differential version - and on a scalar perturbation of the support of the entire history of shocks. The resulting solution for any …

We prove the existence of unique solutions for all undetermined coefficients of nonlinear perturbations of arbitrary … order in a wide class of discrete time DSGE models under standard regularity and saddle stability assumptions for linear … approximations. Our result follows from the straightforward application of matrix analysis to our perturbation derived with Kronecker …

order in a wide class of discrete time dynamic stochastic general equilibrium (DSGE) models are solvable by standard DSGE … perturbation methods under regularity and saddle point stability assumptions on first order approximations. Extending the approach … existence theorem of perturbation solutions, complete the proof that the policy function is invariant to first order changes in …

We present a new approach to the approximation of equilibrium solutions to nonlinear rational expectations models that …-the differential version-and on a scalar perturbation of the support of the entire history of shocks. The resulting solution for any …

standard perturbation output. I examine the joint macroeconomic and asset pricing implications of a real business cycle model …

discrete time DSGE models. We derive the perturbation using a matrix calculus that preserves linear algebraic structures to … guarantee the existence of a unique solution for all undetermined coefficients of nonlinear perturbations of arbitrary order to … is independent of terms first order in the perturbation parameter, and relax the assumptions needed for the local …

solving nonlinear DSGE models. Perturbation of the nonlinear moving average policy function provides a direct mapping from a …We introduce a nonlinear infinite moving average as an alternative to the standard state-space policy function for … nonlinearity, and enables familiar impulse response analysis in nonlinear settings. When the linear approximation is saddle stable …

standard perturbation output. I examine the joint macroeconomic and asset pricing implications of a real business cycle model …