A recursive forward simulation method for solving nonlinear rational expectations models

DOI10.1016/0165-1889(94)90047-7MaRDI QIDQ5906648zbMATH OpenOpenAlexFDO

Authors Selahattin Imrohoroğlu

Publication date 16 February 1995

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1889(94)90047-7

zbMATH Keywords

cone-sector stochastic growthdynamic stochastic optimizationnonlinear Euler equationsrecursive forward simulation

Mathematics Subject Classification ID

Economic growth models (91B62) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
• scientific article; zbMATH DE number 3941216 (Why is no real title available?)
• scientific article; zbMATH DE number 4060924 (Why is no real title available?)
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• Recursive solution methods for dynamic linear rational expectations models
• Testing for sunspot equilibria in the German hyperinflation
• The Solution of Linear Difference Models under Rational Expectations
• Time to Build and Aggregate Fluctuations

Cited in

(9)

• Solving rational-expectations models through the Anderson-Moore algorithm: An introduction to the MATLAB implementation
• An alternative methodology for solving nonlinear forward-looking models
• A back propagation algorithm to estimate the parameters of nonlinear dynamic rational models.
• On stochastic simulation of forward-looking models
• Rational expectations models: An approach using forward-backward stochastic differential equations
• A recursive forward simulation method for solving nonlinear rational expectations models
• A higher-order Taylor approach to simulation of stochastic forward-looking models with an application to a nonlinear Phillips curve model
• The forward method as a solution refinement in rational expectations models
• Recursive solution methods for dynamic linear rational expectations models

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