The Parameterized Expectations Approach: Some Practical Issues
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.
|Date of creation:||1998|
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