In this paper we propose a simulation-based technique to investigate the finite sample performance of likelihood ratio (LR) tests for the nonlinear restrictions that arise when a class of forward-looking (FL) models typically used in monetary policy analysis is evaluated with vector autoregressive (
On Stochastic Simulation of Forward-Looking Models
โ Scribed by Dag Kolsrud
- Book ID
- 111578632
- Publisher
- Springer US
- Year
- 2004
- Tongue
- English
- Weight
- 277 KB
- Volume
- 24
- Category
- Article
- ISSN
- 1572-9974
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๐ SIMILAR VOLUMES
Methods of computing the type II iterations involved in extended path algorithms for the solution of economic models with forward-looking expectations are described. Particular attention is directed at a method involving the application of a Newton algorithm to a 'stacked' equation system that inclu
Ilarhcmatics and Computers in Simulation XXI1 (1980) 231 241 North-Hc)lland Publishing C'ompany PrincipZes OS the Stochastic A&!zoximation Method haus been used in developing this algorithm. The SAMOPT algorithm aZso aLLows ,por the case where the decision variables are subject to a set 01~ Zinear c