Minimal state variable solutions to Markov-switching rational expectations models

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

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

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 algorithm; quadratic polynomial; likelihood principle; E-stability; multiple MSV equilibria; policy changes

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

Related Items

Methods for inference in large multiple-equation Markov-switching models, A system reduction method to efficiently solve DSGE models, Optimal policy in Markov-switching rational expectations models, Solving endogenous regime switching models, On the stability of Calvo-style price-setting behavior, Skewness and kurtosis of multivariate Markov-switching processes, MONETARY POLICY REGIME SWITCHES AND MACROECONOMIC DYNAMICS*

Uses Software

• bvarsv
• Gensys

Cites Work

• 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
• Unnamed Item