This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Solving nonlinear rational expectations models by parameterized expectations: convergence to stationary solutions

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Albert Marcet
David A. Marshall

Additional information is available for the following registered author(s):

Abstract

This paper develops the Parameterized Expectations Approach (PEA) for solving nonlinear dynamic stochastic models with rational expectations. The method can be applied to a variety of models, including models with strong nonlinearities, sub-optimal equilibria, and many continuous state variables. In this approach, the conditional expectations in the equilibrium conditions are approximated by finite-dimensional classes of functional forms. The approach is highly efficient computationally because it incorporates endogenous oversampling and Monte-Carlo integration, and it does not impost a discrete grid on the state variables or the stochastic shocks. We prove that PEA can approximate the correct solution with arbitrary accuracy on the ergodic set by increasing the size of the Monte-Carlo simulations and the dimensionality of the approximating family of functions.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.minneapolisfed.org/research/DP/DP91.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Federal Reserve Bank of Minneapolis in its series Discussion Paper / Institute for Empirical Macroeconomics with number 91.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 1994
Date of revision:
Handle: RePEc:fip:fedmem:91

Contact details of provider:
Postal: 90 Hennepin Avenue, P.O. Box 291, Minneapolis, MN 55480-0291
Phone: (612) 204-5000
Web page: http://minneapolisfed.org/
More information through EDIRC

Order Information:
Email:
Web: http://www.minneapolisfed.org/pubs/

For technical questions regarding this item, or to correct its listing, contact: (Diane Rosenberger).

Related research
Keywords: Rational expectations (Economic theory) Econometric models

Other versions of this item:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Wilfredo Leiva Maldonado & Benar Fux Svaiter, 2001. "On the accuracy of the estimated policy function using the Bellman contraction method," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-8. [Downloadable!]
    Other versions:
  2. Lawrence J. Christiano & Jonas D. M. Fisher, 1994. "Algorithms for solving dynamic models with occasionally binding constraints," Staff Report 171, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  3. Javier J. Pérez, 2001. "A Log-linear Homotopy Approach to Initialize the Parameterized Expectations Algorithm," Economic Working Papers at Centro de Estudios Andaluces E2001/02, Centro de Estudios Andaluces. [Downloadable!]
    Other versions:
  4. Albert Marcet & Kenneth J. Singleton, 1990. "Equilibrium Asset Prices and Savings of Heterogeneous Agents in the Presence of Incomplete Markets and Portfolio Constraints," Economics Working Papers 319, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 1998. [Downloadable!]
  5. Monique C. Ebell, 2000. "Why Are Asset Returns more Volatile During Recessions? A Theoretical Examination," Econometric Society World Congress 2000 Contributed Papers 1554, Econometric Society. [Downloadable!]
  6. Alexandre Dmitriev, 2008. "Technological Transfers, Limited Commitment and Growth," Discussion Papers 2008-05, School of Economics, The University of New South Wales. [Downloadable!]
    Other versions:
  7. Alfonso Novales & Javier J. Pérez, 2002. "Is it Worth Refining Linear Approximations to Non-Linear Rational Expectations Models?," Economic Working Papers at Centro de Estudios Andaluces E2002/15, Centro de Estudios Andaluces. [Downloadable!]
    Other versions:
  8. Teresa Garcia-Milà & Albert Marcet & Eva Ventura, 1995. "Supply Side Interventions and Redistribution," Economics Working Papers 115, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2008. [Downloadable!]
  9. Ilaski Barañano, 2001. "Endogenous growth and economic fluctuations," Investigaciones Economicas, Fundación SEPI, vol. 25(3), pages 515-541, September. [Downloadable!]
  10. Arantza Gorostiaga, 2003. "Should Fiscal Policy be different in a Non-Competitive Framework?," DFAEII Working Papers 200228, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? IDEAS uses the data collected within the RePEc project, the largest online bibliographic database in Economics.

This page was last updated on 2008-8-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.