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Dynare add-on for "Risk-Sensitive Linear Approximations"

Author

Listed:
  • Alexander Meyer-Gohde

    (University of Hamburg)

Abstract

This file contains the code from "Risk-Sensitive Linear Approximations," previously entitled "Risky Linear Approximations." This add-on extends Dynare's (version 4) functionality to include policy functions maintain linearity in states, but are adjusted nonlinearly for risk.

Suggested Citation

  • Alexander Meyer-Gohde, 2014. "Dynare add-on for "Risk-Sensitive Linear Approximations"," QM&RBC Codes 200, Quantitative Macroeconomics & Real Business Cycles, revised 2017.
  • Handle: RePEc:dge:qmrbcd:200
    as

    Download full text from publisher

    File URL: http://dge.repec.org/codes/meyer-gohde/risk_sensitive_linear_approx.zip
    File Function: program code
    Download Restriction: none

    File URL: http://dge.repec.org/codes/meyer-gohde/dynare_add_on_2017.zip
    File Function: program code (2017 update)
    Download Restriction: none

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    More about this item

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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