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

DOI10.1016/J.ECONLET.2020.109704zbMATH Open1460.91126OpenAlexW3115568344MaRDI QIDQ2659945FDOQ2659945

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

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zbMATH Keywords

likelihooddynamic stochastic general equilibrium modelsstate space representationgensys

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

Cites Work

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

Cited In (2)

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

Uses Software

• Gensys

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