System reduction of dynamic stochastic general equilibrium models solved by \texttt{gensys}

DOI10.1016/J.ECONLET.2020.109704MaRDI QIDQ2659945zbMATH OpenOpenAlexFDO

Authors Jae Won Lee, Woong Yong Park

Publication date 29 March 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2020.109704

zbMATH Keywords

likelihooddynamic stochastic general equilibrium modelsstate space representationgensys

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• Solving linear rational expectations models
• The Solution of Linear Difference Models under Rational Expectations
• Time series analysis by state space methods.
• Using the generalized Schur form to solve a multivariate linear rational expectations model

Cited in

(2)

• How to maximize the likelihood function for a DSGE model
• A system reduction method to efficiently solve DSGE models

Describes a project that uses

Uses Software

• Gensys

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