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Give the references to Dennis (2007) for discretionary_policy

time-shift
Sébastien Villemot 2012-06-06 12:55:36 +02:00
parent a50e65fb6c
commit bd9aeef1d0
2 changed files with 10 additions and 3 deletions
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8
doc/dynare.texi
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@ -4962,7 +4962,8 @@ inflation or nominal interest rate as an instrument.
@descriptionhead @descriptionhead
This command computes an approximation of the optimal policy under 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 @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 with an Application to a Non-Linear Phillips Curve,'' @i{Computational
Economics}, 17, 125--139. 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 @item
Durbin, J. and S. J. Koopman (2001), @i{Time Series Analysis by State Durbin, J. and S. J. Koopman (2001), @i{Time Series Analysis by State
Space Methods}, Oxford University Press. Space Methods}, Oxford University Press.

5
matlab/discretionary_policy_engine.m
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@ -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 % 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 % variables in vector y_t and instr_id is the location of the instruments
% in the yy_t vector. % in the yy_t vector.
% We use the Dennis algorithm and so we need to re-write the model in the % We use the Dennis (2007, Macroeconomic Dynamics) algorithm and so we need
% 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 % 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 % weight on the y_t vector and Q the weight on the x_t vector of
% instruments. % instruments.