Give the references to Dennis (2007) for discretionary_policy
parent
a50e65fb6c
commit
bd9aeef1d0
|
@ -4962,7 +4962,8 @@ inflation or nominal interest rate as an instrument.
|
|||
@descriptionhead
|
||||
|
||||
This command computes an approximation of the optimal policy under
|
||||
discretion
|
||||
discretion. The algorithm implemented is essentially an LQ solver, and
|
||||
is described by @cite{Dennis (2007)}.
|
||||
|
||||
@optionshead
|
||||
|
||||
|
@ -7279,6 +7280,11 @@ Expansion Approach to Simulation of Stochastic Forward-Looking Models
|
|||
with an Application to a Non-Linear Phillips Curve,'' @i{Computational
|
||||
Economics}, 17, 125--139.
|
||||
|
||||
@item
|
||||
Dennis, Richard (2007): ``Optimal Policy In Rational Expectations
|
||||
Models: New Solution Algorithms,'' @i{Macroeconomic Dynamics}, 11(1),
|
||||
31--55
|
||||
|
||||
@item
|
||||
Durbin, J. and S. J. Koopman (2001), @i{Time Series Analysis by State
|
||||
Space Methods}, Oxford University Press.
|
||||
|
|
|
@ -4,8 +4,9 @@ function [H,G,retcode]=discretionary_policy_engine(AAlag,AA0,AAlead,BB,bigw,inst
|
|||
% AAlag*yy_{t-1}+AA0*yy_t+AAlead*yy_{t+1}+BB*e=0, with W the weight on the
|
||||
% variables in vector y_t and instr_id is the location of the instruments
|
||||
% in the yy_t vector.
|
||||
% We use the Dennis algorithm and so we need to re-write the model in the
|
||||
% form A0*y_t=A1*y_{t-1}+A2*y_{t+1}+A3*x_t+A4*x_{t+1}+A5*e_t, with W the
|
||||
% We use the Dennis (2007, Macroeconomic Dynamics) algorithm and so we need
|
||||
% to re-write the model in the form
|
||||
% A0*y_t=A1*y_{t-1}+A2*y_{t+1}+A3*x_t+A4*x_{t+1}+A5*e_t, with W the
|
||||
% weight on the y_t vector and Q the weight on the x_t vector of
|
||||
% instruments.
|
||||
|
||||
|
|
Loading…
Reference in New Issue