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The Parameterized Expectations Approach: Some Practical Issues

Author

Listed:
  • Albert Marcet
  • Guido Lorenzoni

Programming Language

Fortran

Abstract

This code supports the text in Albert Marcet and Guido Lorenzoni, The Parameterized Expectations Approach: Some Practical Issues, in Ramon Marimon and Andrew Scott (eds), Computational Methods for the Study of Dynamic Economies, Chapter 7, Oxford University Press. This chapter describes the Parameterized Expectations Approach. Under PEA Conditional Expectations are treated as random functions, which are simulated in a Monte Carlo fashion. The integral is then approxiamed over the realized sample path. The chapter takes the reader step by step through this approach and six examples (of which the computer programs are available below) demonstrate the beauty and potential problems of this approach.

Suggested Citation

  • Albert Marcet & Guido Lorenzoni, 1998. "The Parameterized Expectations Approach: Some Practical Issues," QM&RBC Codes 128, Quantitative Macroeconomics & Real Business Cycles.
    • Handle: RePEc:dge:qmrbcd:128
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    File URL: https://dge.repec.org/codes/marimon-scott/Lorenzoni/
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    Keywords

    Fortran;

    JEL classification:

    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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