Analytic Derivatives for Linear Rational Expectations Models
AbstractThis paper sets out the analytic solution for the calculation of exact derivatives in linear rational expectations models with reference to the optimal simple rule problem. We argue that there are substantial computational advantages of using analytic derivatives and compare the likely computational costs of using approximate and exact derivatives when calculating optimal coefficients for simple feedback rules. A specific algorithm for finite time optimization is also outlined, which will reduce the computational time required and is simple to implement. We discuss modifications to allow for stochastic models.
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 24 (2004)
Issue (Month): 1 (08)
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- Andrew P Blake & Fabrizio Zampolli, 2006. "Optimal monetary policy in Markov-switching models with rational expectations agents," Bank of England working papers 298, Bank of England.
- Andrew P. Blake & Tatiana Kirsanova, 2012.
"Discretionary Policy and Multiple Equilibria in LQ RE Models,"
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- Blake, Andrew P. & Kirsanova, Tatiana, 2006. "Discretionary Policy and Multiple Equilibria in LQ RE Models," MPRA Paper 21901, University Library of Munich, Germany, revised 01 Apr 2010.
- Andrew Blake & Tatiana Kirsanova, 2008. "Discretionary Policy and Multiple Equilibria in LQ RE Models," Discussion Papers 0813, Exeter University, Department of Economics.
- Tatiana Kirsanova & Andrew P. Blake, 2010. "Discretionary Policy and Multiple Equilibria in LQ RE Models," 2010 Meeting Papers 789, Society for Economic Dynamics.
- Blake, Andrew P. & Zampolli, Fabrizio, 2011. "Optimal policy in Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(10), pages 1626-1651, October.
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