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Computing second-order-accurate solutions for rational expectation models using linear solution methods Author info | Abstract | Publisher info | Download info | Related research | Statistics Giovanni Lombardo () (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany )
Alan Sutherland () (School of Economics and Finance, University of St Andrews, St Andrews, KY16 9AL, United Kingdom )
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This paper shows how to compute a second-order accurate solution of a non-linear rational expectation model using algorithms developed for the solution of linear rational expectation models. The result is a state-space representation for the realized values of the variables of the model. This state-space representation can easily be used to compute impulse responses as well as conditional and unconditional forecasts.
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Paper provided by European Central Bank in its series Working Paper Series with number
487.
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Length: 25 pages
Date of creation: May 2005Date of revision:
Handle: RePEc:ecb:ecbwps:20050487Contact details of provider: Postal: Postfach 16 03 19, Frankfurt am Main, Germany Phone: +49 69 1344 0 Fax: +49 69 1344 6000 Web page: http://www.ecb.europa.eu/home/html/index.en.html More information through EDIRC
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Keywords: Second order approximation Solution method for rational expectation models. Other versions of this item:
Find related papers by JEL classification: C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques E0 - Macroeconomics and Monetary Economics - - General
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