Minimal state variable solutions to Markov-switching rational expectations models

DOI10.1016/j.jedc.2011.08.005zbMath1241.91140OpenAlexW2166076743MaRDI QIDQ428000

Roger E. A. Farmer, Tao Zha, Daniel F. Waggoner

Publication date: 18 June 2012

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/70672

zbMATH Keywords

iterative algorithmquadratic polynomiallikelihood principleE-stabilitymultiple MSV equilibriapolicy changes

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (13)

Methods for inference in large multiple-equation Markov-switching models ⋮ A system reduction method to efficiently solve DSGE models ⋮ Solving endogenous regime switching models ⋮ On the stability of Calvo-style price-setting behavior ⋮ Skewness and kurtosis of multivariate Markov-switching processes ⋮ The origins and effects of macroeconomic uncertainty ⋮ Optimal policy in Markov-switching rational expectations models ⋮ Monetary policy switching and indeterminacy ⋮ Determinacy and classification of Markov-switching rational expectations models ⋮ E-stability vis-à-vis determinacy in regime-switching models ⋮ MONETARY POLICY REGIME SWITCHES AND MACROECONOMIC DYNAMICS* ⋮ Origins of monetary policy shifts: a new approach to regime switching in DSGE models ⋮ Time-varying rational expectations models

Uses Software

• bvarsv
• Gensys

Cites Work

• Unnamed Item
• Methods for inference in large multiple-equation Markov-switching models
• Saddlepath learning
• Understanding Markov-switching rational expectations models
• Solving linear rational expectations models
• Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• Normalization in Econometrics
• Time Varying Structural Vector Autoregressions and Monetary Policy

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