The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

This article studies the pruned state-space system for higher-order perturbation approximations to dynamic stochastic general equilibrium (DSGE) models. We show the stability of the pruned approximation up to third order and provide closed-form expressions for first and second unconditional moments...

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Veröffentlicht in:	The Review of economic studies 2018-01, Vol.85 (1 (302)), p.1-49
Hauptverfasser:	ANDREASEN, MARTIN M., FERNÁNDEZ-VILLAVERDE, JESÚS, RUBIO-RAMÍREZ, JUAN F.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Economic conditions Generalized method of moments Long term Risk Risk factors Simulation Studies Variability
Online-Zugang:	Volltext
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