Solving and estimating indeterminate DSGE models

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2015
Volume: 54
Issue: C
Pages: 17-36

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new fundamentals. This redefinition allows us to treat indeterminate models as determinate and to apply standard solution algorithms. We prove that our method is equivalent to the solution method proposed by Lubik and Schorfheide (2003, 2004), and using the New-Keynesian model described in Lubik and Schorfheide (2004), we demonstrate how to apply our theoretical results with a practical exercise.

Technical Details

RePEc Handle
repec:eee:dyncon:v:54:y:2015:i:c:p:17-36
Journal Field
Macro
Author Count
3
Added to Database
2026-01-25