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Solving DSGE models with stochastic trends

Author

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  • Sergei Seleznev

    (Bank of Russia, Russian Federation)

Abstract

We propose an algorithm for solving DSGE models with stochastic trends. Several implementations help us to solve the model with a small number of stochastic trends in the absence of a balanced growth path fast and allow us to control the accuracy of approximation in a certain range. Taking into account the fact that many implementations can be easily parallelized, this algorithm enables the estimation of models in the absence of a balanced growth path. We also provide a number of possible methods for estimation.

Suggested Citation

  • Sergei Seleznev, 2016. "Solving DSGE models with stochastic trends," Bank of Russia Working Paper Series wps15, Bank of Russia.
    • Handle: RePEc:bkr:wpaper:wps15
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    1. Oleg Kryzhanovsky & Alexander Zykov, 2022. "DEMUR: A Regional Semi-Structural Model of the Ural Macroregion," Russian Journal of Money and Finance, Bank of Russia, vol. 81(4), pages 52-85, December.

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    More about this item

    Keywords

    Non-stationary DSGE; stochastic trends; Smolyak’s algorithm; perturbation method.;
    All these keywords.

    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

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