Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70672
Authors: 
Farmer, Roger E. A.
Waggoner, Daniel F.
Zha, Tao
Year of Publication: 
2010
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2008-23a
Abstract: 
We develop a new method for deriving minimal state variable (MSV) equilibria of a general class of Markov-switching rational expectations models and a new algorithm for computing these equilibria. We compare our approach to previously known algorithms, and we demonstrate that ours is both efficient and more reliable than previous methods in the sense that it is able to find MSV equilibria that previously known algorithms cannot. Further, our algorithm can find all possible MSV equilibria in models where there are multiple MSV equilibria. This feature is essential if one is interested in using a likelihood-based approach to estimation.
Subjects: 
regime switching
rational expectations
MSV
iterative algorithm
policy changes
JEL: 
C61
C62
Document Type: 
Working Paper

Files in This Item:
File
Size
244.59 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.