| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9663 |
| DP9663 Solving and Estimating Indeterminate DSGE Models | |
| Roger Farmer | |
| 发表日期 | 2013-09-22 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We provide a selection method, based on Bayesian model comparison, to decide which errors to pick as fundamental and we present simulation results to show how our procedure works in practice. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian estimation Dynare Indeterminacy |
| URL | https://cepr.org/publications/dp9663 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538499 |
| 推荐引用方式 GB/T 7714 | Roger Farmer. DP9663 Solving and Estimating Indeterminate DSGE Models. 2013. |
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