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Nota técnica: Un algoritmo para la simulación de modelos lineales en tiempo continuo bajo previsión perfecta

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  • Carlo Graziani
  • Andrés Almansa
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    Abstract

    Se presente un algoritmo para simular numéricamente modelos lineales formulados en tiempo continuo bajo previsión perfecta. Partiendo de los trabajos de Austin y Buiter (1984), se caracteriza primero la familia de modelos que se pretende resolver, exponiendo su forma reducida. Después se explica la solución matemática adoptada. Luego se presentan algunos ejemplos conocidos de la literatura. El algoritmo está escrito en el lenguaje MATLAB y permite simular modelos con muchas variables de estado. Los shocks exógenos pueden ser no anticipados o anticipados, así como permanentes o transitorios.

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    File URL: http://www.econ.uchile.cl/uploads/publicacion/9961dc64-f1f6-49ca-a5fd-233e44084ff9.pdf
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    Bibliographic Info

    Article provided by University of Chile, Department of Economics in its journal Estudios de Economia.

    Volume (Year): 24 (1997)
    Issue (Month): 1 Year 1997 (June)
    Pages: 185-196

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    Handle: RePEc:udc:esteco:v:24:y:1997:i:1:p:185-196

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    Web page: http://www.econ.uchile.cl/
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    Related research

    Keywords: Algoritmo; simulación; modelos lineales; previsión perfecta.;

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