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  • #827

Closed
Open
Created Dec 14, 2014 by Tom Holden@tholden

Feature request: Implement the algorithm of Ajevskis (2014) for perturbation around a deterministic path

Viktors Ajevskis has a great new paper showing how the Lombardo pruning method may be extended to support perturbation around a deterministic path. This seems like a feature that would be a huge benefit to virtually all Dynare users, since it makes it possible to e.g.:

  • Solve non-stationary DSGE models, such as those featuring structural change.
  • Evaluate the welfare consequences of a permanent change in policy, without sacrificing accuracy along the transition path.
  • Obtain increased accuracy for large impulse response exercises.
  • Unify the stochastic and non-stochastic simulation engines in Dynare.

It would be great if this could be added to the bottom of your very long to do list!

https://ideas.repec.org/p/ltv/wpaper/201401.html

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