| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23521 |
| 来源ID | Working Paper 23521 |
| A Generalized Approach to Indeterminacy in Linear Rational Expectations Models | |
| Francesco Bianchi; Giovanni Nicolò | |
| 发表日期 | 2017-06-19 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We propose a novel approach to deal with the problem of indeterminacy in Linear Rational Expectations models. The method consists of augmenting the original model with a set of auxiliary exogenous equations that are used to provide the adequate number of explosive roots in presence of indeterminacy. The solution in this expanded state space, if it exists, is always determinate, and is identical to the indeterminate solution of the original model. The proposed approach accommodates determinacy and any degree of indeterminacy, and it can be implemented even when the boundaries of the determinacy region are unknown. As a result, the researcher can estimate the model by using standard packages without restricting the estimates to a certain area of the parameter space. We apply our method to simulated and actual data from a prototypical New-Keynesian model for both regions of the parameter space. We show that our method successfully recovers the true parameter values independent of the initial values. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Mathematical Tools |
| URL | https://www.nber.org/papers/w23521 |
| 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/581194 |
| 推荐引用方式 GB/T 7714 | Francesco Bianchi,Giovanni Nicolò. A Generalized Approach to Indeterminacy in Linear Rational Expectations Models. 2017. |
| 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 | ||
| w23521.pdf（1023KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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