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The Parameterized Expectations Approach: Some Practical Issues

Listed author(s):
  • Albert Marcet
  • Guido Lorenzoni

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.

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Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 128.

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Programming language: Fortran
Date of creation: 1998
Handle: RePEc:dge:qmrbcd:128
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