Skip to content
GitLab
Menu
Projects
Groups
Snippets
/
Help
Help
Support
Community forum
Keyboard shortcuts
?
Submit feedback
Contribute to GitLab
Sign in / Register
Toggle navigation
Menu
Open sidebar
Dóra Kocsis
dynare
Commits
bd9aeef1
Commit
bd9aeef1
authored
Jun 06, 2012
by
Sébastien Villemot
Browse files
Give the references to Dennis (2007) for discretionary_policy
parent
a50e65fb
Changes
2
Hide whitespace changes
Inline
Side-by-side
doc/dynare.texi
View file @
bd9aeef1
...
...
@@ -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
.
...
...
matlab/discretionary_policy_engine.m
View file @
bd9aeef1
...
...
@@ -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.
...
...
Write
Preview
Supports
Markdown
0%
Try again
or
attach a new file
.
Attach a file
Cancel
You are about to add
0
people
to the discussion. Proceed with caution.
Finish editing this message first!
Cancel
Please
register
or
sign in
to comment