Calculating and using second order accurate solutions of discrete time dynamic equilibrium models
By: Jinill Kim [et al.].
Contributors: Kim, Jinill.
Series: Finance and economics discussion series ;; 2003-61; Finance and economics discussion series (Online) ;; 2003-61.
Publisher: Federal Reserve Board
Published: 2003
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "We describe an algorithm for calculating second order approximations to the solutions to nonlinear stochastic rational expectation models.  The paper also explains methods for using such an approximate solution to generate forecasts, simulated time paths for the model, and evaluations of expected welfare differences across different versions of a model.  The paper gives conditions for local validity of the approximation that allow for disturbance distributions with unbounded support and allow for non-stationarity of the solution process"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 7/20/2004.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.