A system reduction method to efficiently solve DSGE models

DOI10.1016/J.JEDC.2012.09.013MaRDI QIDQ318371zbMATH OpenOpenAlexFDO

Authors Kolver Hernandez

Publication date 5 October 2016

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

Full work available at URL https://doi.org/10.1016/j.jedc.2012.09.013

zbMATH Keywords

Bayesian estimationsolution of DSGE modelssolution of linear rational expectation modelssystem reduction algorithm

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A linear algebraic procedure for solving linear perfect foresight models
• An eigenvalue method of undetermined coefficients for solving linear rational expectations models
• Introducing financial frictions and unemployment into a small open economy model
• Minimal state variable solutions to Markov-switching rational expectations models
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Solving linear rational expectations models
• Solving linear rational expectations models: A horse race
• System reduction and solution algorithms for singular linear difference systems under rational expectations
• The Solution of Linear Difference Models under Rational Expectations
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• What's news in business cycles

Cited in

(2)

• System reduction of dynamic stochastic general equilibrium models solved by \texttt{gensys}
• The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Describes a project that uses

Uses Software

• Uhlig Toolkit
• Gensys

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