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Computing second-order-accurate solutions for rational expectation models using linear solution methods

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Lombardo, Giovanni
Sutherland, Alan

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 31 (2007)
Issue (Month): 2 (February)
Pages: 515-530
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Handle: RePEc:eee:dyncon:v:31:y:2007:i:2:p:515-530

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. King, Robert G & Watson, Mark W, 2002. "System Reduction and Solution Algorithms for Singular Linear Difference Systems under Rational Expectations," Computational Economics, Springer, vol. 20(1-2), pages 57-86, October. [Downloadable!]
  2. Christopher A. Sims & Jinill Kim & Sunghyun Kim, 2003. "Calculating and Using Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models," Computing in Economics and Finance 2003 162, Society for Computational Economics. [Downloadable!]
    Other versions:
  3. Canton, E., 1996. "Business cycles in a two-sector model of endogenous growth," Discussion Paper 116, Tilburg University, Center for Economic Research. [Downloadable!]
  4. Sutherland, Alan, 2002. "A Simple Second-Order Solution Method For Dynamic General Equilibrium Models," CEPR Discussion Papers 3554, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  5. Klein, Paul, 2000. "Using the generalized Schur form to solve a multivariate linear rational expectations model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1405-1423, September. [Downloadable!] (restricted)
  6. Pierpaolo Benigno & Michael Woodford, 2004. "Optimal Stabilization Policy When Wages and Prices are Sticky: The Case of a Distorted Steady State," NBER Working Papers 10839, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Lawrence J. Christiano, 1998. "Solving Dynamic Equilibrium Models by a Method of Undetermined Coefficients," NBER Technical Working Papers 0225, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Schmitt-Grohe, Stephanie & Uribe, Martin, 2004. "Solving dynamic general equilibrium models using a second-order approximation to the policy function," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 755-775, January. [Downloadable!] (restricted)
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  9. Pierpaolo Benigno & Michael Woodford, 2004. "Optimal monetary and fiscal policy: a linear-quadratic approach," International Finance Discussion Papers 806, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  10. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July. [Downloadable!] (restricted)
  11. Kim, Jinill & Kim, Sunghyun Henry, 2003. "Spurious welfare reversals in international business cycle models," Journal of International Economics, Elsevier, vol. 60(2), pages 471-500, August. [Downloadable!] (restricted)
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  12. Harald Uhlig, 1998. "A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily," QM&RBC Codes 123, Quantitative Macroeconomics & Real Business Cycles. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Michael B. Devereux & Alan Sutherland, 2007. "Solving for Country Portfolios in Open Economy Macro Models," Working Papers 162007, Hong Kong Institute for Monetary Research. [Downloadable!]
    Other versions:
  2. Gianni Amisano & Oreste Tristani, 2007. "Euro area inflation persistence in an estimated nonlinear DSGE model," Working Paper Series 754, European Central Bank. [Downloadable!]
    Other versions:
  3. Barbara Annicchiarico & Luisa Corrado & Alessandra Pelloni, 2008. " Long-Term Growth and Short-Term Volatility: The Labour Market Nexus," CDMA Working Paper Series 0806, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
    Other versions:
  4. Yi Wen & Huabin Wu, 2008. "Dynamics of externalities: a second-order perspective," Working Papers 2008-044, Federal Reserve Bank of St. Louis. [Downloadable!]
  5. Cedric Tille & Eric van Wincoop, 2007. "International Capital Flows," Working Papers 122007, Hong Kong Institute for Monetary Research. [Downloadable!]
    Other versions:
  6. Devereux, Michael B & Sutherland, Alan, 2007. "Country Portfolio Dynamics," CEPR Discussion Papers 6208, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  7. Katrin Tinn, 2005. "Optimal research in financial markets with heterogeneous private information a rational expectations model," Working Paper Series 493, European Central Bank. [Downloadable!]
    Other versions:
  8. Matthias Mohr, 2005. "A Trend-Cycle(-Season) Filter," Econometrics 0508004, EconWPA. [Downloadable!]
    Other versions:
  9. Paul Gomme & Paul Klein, 2009. "Second-order approximation of dynamic models without the use of tensors," Working Papers 09004, Concordia University, Department of Economics, revised 25 Mar 2009. [Downloadable!]
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