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A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily

Harald Uhlig

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0003
Subject:
Economics and Finance, Macro- and Monetary Economics

An extensive treatment is provided of methods that use log‐linear approximations to solve nonlinear dynamic discrete‐time stochastic models. These methods, based on their linear counterparts, have ... More


Recursive Models of Dynamic Linear Economies

Lars Peter Hansen and Thomas J. Sargent

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691042770
eISBN:
9781400848188
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691042770.001.0001
Subject:
Economics and Finance, History of Economic Thought

A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. This book uses these tools to create a class of econometrically tractable models of prices and ... More


Linear Quadratic Approximations: An Introduction

Javier Díaz‐Giménez

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0002
Subject:
Economics and Finance, Macro- and Monetary Economics

This is a brief introduction to dynamic programming and the method of using linear quadratic (LQ) approximations to the return function; the method is an approximation because it computes the ... More


Optimal Fiscal Policy in a Linear Stochastic Economy

Thomas J. Sargent and François R. Velde

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0009
Subject:
Economics and Finance, Macro- and Monetary Economics

The Lucas and Stokey (1983) economy without capital is used to exhibit features of the Lucas and Stokey model of optimal taxation, and show how they compare with Barro's (1979) tax‐smoothing model. ... More


Discrete State‐Space Methods for the Study of Dynamic Economies

Craig Burnside

in Computational Methods for the Study of Dynamic Economies

Published in print:
2001
Published Online:
November 2003
ISBN:
9780199248278
eISBN:
9780191596605
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199248273.003.0005
Subject:
Economics and Finance, Macro- and Monetary Economics

A number of numerical methods are discussed for solving dynamic stochastic general equilibrium models that fall within the common category of discrete state‐space methods. These methods can be ... More


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