线性DSGE模型求解的相关文献

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自Blanchard and Kahn (1980)以来，有多种线性DSGE模型求解方法出现，包括Sims (2002)[1]和Klein (2000)[2]的基于QZ分解（广义Schur分解）的方法、Uhlig (1999)[3]的待定系数法等。Jullard等人开发了基于Matlab的Dynare。对DSGE求解问题的教科书式的处理，包括Heer and Maußner (2009)[4]、Dejong and Dave (2007)[5]、Canova (2007)[6]、Ljungqvist and Sagent (2004)[7]、Judd (1998)、Adda and Cooper(2003)[8]等。Anderson(2006)以Anderson-Moore为比较对象，给出了多种不同的线性求解方法的比较。

Blanchard, O. J., and C. M. Kahn, 1980, The Solution of Linear Difference Models under Rational Expectations, Econometrica 48, 1305-1311.

Canova, Fabio, 2007. Methods for Applied Macroeconomic  Research (Princeton University Press).

Dejong, David N., and Chetan Dave, 2007. Structural Macroeconometrics (Princeton University Press).

Heer, Burkhard, and Alfred Maußner, 2009. Dynamic general equilibrium modeling: computational methods and applications (Springer).

Judd, K. L., 1998, Numerical Methods in Economics, .

Klein, Paul, 2000, Using the generalized Schur form to solve a multivariate linear rational expectations model, Journal of Economic Dynamics and Control 24, 1405-1423.

Ljungqvist, L., and T. J. Sagent, 2004, Recursive Macroeconomic Theory, .

Sims, Christopher A., 2002, Solving Linear Rational Expectations Models, Computational Economics 20, 1-20.

Uhlig, H., 1999, A Toolkit for Analyzing Nonlinear Dynamic Stochastic Models Easily.

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[1] http://www.princeton.edu/~sims/

[2] http://paulklein.se/newsite/codes/codes.php

[3] http://www2.wiwi.hu-berlin.de/institute/wpol/html/toolkit.htm

[4] http://www.wiwi.uni-augsburg.de/ ... ok/dgebook_2ed.html

[5] http://www.pitt.edu/~dejong/text.htm

[6] http://www.crei.cat/people/canova/

[7] http://homepages.nyu.edu/~ts43/books.html

[8] http://128.83.172.192/dynprog/dynprog1.html

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关键词：DSGE模型求解 dsge模型 相关文献 DSGE Expectations

好帖！

zhaojumping 发表于 2012-2-14 15:27
好帖！

又见jumping

可以考虑把Christiano发表在“Computational Economics”上的Undetermined Coefficient 加上。

很好。

多谢分享！

Computational Economics

楼主啊 你以前发帖问这些方法，现在看来你都搞的差不多了~