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Understanding Markov-Switching Rational Expectations Models / Roger E.A. Farmer, Tao Zha, Daniel F. Waggoner.
- Format:
- Book
- Author/Creator:
- Farmer, Roger E.A.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w14710.
- NBER working paper series no. w14710
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2009.
- Summary:
- We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models and we develop an algorithm to check these conditions in practice. We use three examples, based on the new-Keynesian model of monetary policy, to illustrate our technique. Our work connects applied econometric models of Markov-switching with forward looking rational expectations models and allows an applied researcher to construct the likelihood function for models in this class over a parameter space that includes a determinate region and an indeterminate region.
- Notes:
- Print version record
- February 2009.
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