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Solving and Estimating Dynamic Models under Rational Expectations

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Author Info

  • Fabrice Collard
  • Patrick Feve
  • Corinne Perraudin

Abstract

This paper combines recent developments in methods for solving and estimating rational expectations dynamic models. These developments are applied to a model of labor-market search, where firms operate under uncertainty. We assess the ability of the structural model to mimic nonlinear features found in the data. The solution to the model is obtained using a method of weighted residuals. The model is then estimated using an auxiliary model technique. Our results indicate that the simple theoretical representation of the labor market we propose is able to match the overall behavior of US hours worked along various dimensions. Beyond they show the usefulness of this combined approach to study dynamic models under rational expectations.

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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 15 (2000)
Issue (Month): 3 (June)
Pages: 201-221

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Handle: RePEc:kap:compec:v:15:y:2000:i:3:p:201-221

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Web page: http://www.springerlink.com/link.asp?id=100248
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Related research

Keywords: method of weighted residuals; auxiliary model approach; stochastic simulations; rational expectations; nonlinear dynamics;

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Cited by:
  1. repec:ebl:ecbull:v:3:y:2002:i:11:p:1-13 is not listed on IDEAS
  2. Michel Juillard & Tarik Ocaktan, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," Économie et Prévision, Programme National Persée, vol. 183(2), pages 115-126.

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