Commit bd9aeef1 authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Give the references to Dennis (2007) for discretionary_policy

parent a50e65fb
......@@ -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.
......
Supports Markdown
0% or .
You are about to add 0 people to the discussion. Proceed with caution.
Finish editing this message first!
Please register or to comment