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Un procedimiento para la simulación de modelos lineales en tiempo continuo con previsión perfecta e histéresis

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  • Carlo Graziani

    (Universidad Católica del Uruguay)

  • Andrés Almansa

    (Universidad de la República)

Abstract

This work presents a procedure to simulate continuous linear models with perfect foresight and histeresis. The procedure, which constitutes the basis of the LPFH algorithm, is based on a generalization of the standard structural form introduced by Austin and Buiter (1982) and Buiter (1984), and allows for the numerical solution of models with many state variables.

Suggested Citation

  • Carlo Graziani & Andrés Almansa, 1998. "Un procedimiento para la simulación de modelos lineales en tiempo continuo con previsión perfecta e histéresis," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 13(1), pages 35-56.
  • Handle: RePEc:emx:esteco:v:13:y:1998:i:1:p:35-56
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    File URL: http://estudioseconomicos.colmex.mx/archivo/EstudiosEconomicos1998/35-56.pdf
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    References listed on IDEAS

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    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
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    3. Husted, Steven, 1992. "The Emerging U.S. Current Account Deficit in the 1980s: A Cointegration Analysis," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 159-166, February.
    4. Baxter, Marianne & Crucini, Mario J, 1993. "Explaining Saving-Investment Correlations," American Economic Review, American Economic Association, vol. 83(3), pages 416-436, June.
    5. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
    6. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    7. Blough, Stephen R, 1992. "The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 295-308, July-Sept.
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