Commit bd9aeef1 by Sébastien Villemot

### 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. ... ...
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