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Discrete State-Space Methods for the Study of Dynamic Economies


  • Craig Burnside


This code supports the text in Craig Burnside, Discrete State-Space Methods for the Study of Dynamic Economies, in Ramon Marimon and Andrew Scott (eds), Computational Methods for the Study of Dynamic Economies, Chapter 5, Oxford University Press. Non-linear models with a finite numbers of states can be solved exactly with discrete state-space methods. They are also an excellent approximation to models with a continuous state space. The software is described in paragraph 6 of the chapter. Two programs solve the asset pricing model with i.i.d shocks (apiid.m) and serially correlated shocks (apsco.m). Two other programs solve the one-sector growth model with the "Tauchen" (grtauch.m) and the "Baxter" (grbcr.m) methods. The other files are subroutines.

Suggested Citation

  • Craig Burnside, 1998. "Discrete State-Space Methods for the Study of Dynamic Economies," QM&RBC Codes 125, Quantitative Macroeconomics & Real Business Cycles.
  • Handle: RePEc:dge:qmrbcd:125

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