| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14710 |
| 来源ID | Working Paper 14710 |
| Understanding Markov-Switching Rational Expectations Models | |
| Roger E.A. Farmer; Tao Zha; Daniel F. Waggoner | |
| 发表日期 | 2009-02-05 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models and we develop an algorithm to check these conditions in practice. We use three examples, based on the new-Keynesian model of monetary policy, to illustrate our technique. Our work connects applied econometric models of Markov-switching with forward looking rational expectations models and allows an applied researcher to construct the likelihood function for models in this class over a parameter space that includes a determinate region and an indeterminate region. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w14710 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572386 |
| 推荐引用方式 GB/T 7714 | Roger E.A. Farmer,Tao Zha,Daniel F. Waggoner. Understanding Markov-Switching Rational Expectations Models. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14710.pdf（712KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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