System reduction of dynamic stochastic general equilibrium models solved by gensys
| Autor: | Woong Yong Park, Jae Won Lee |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Economics and Econometrics
State-space representation Computer science 05 social sciences Reduction (complexity) Dimension (vector space) Simple (abstract algebra) Present method 0502 economics and business Dynamic stochastic general equilibrium Applied mathematics 050207 economics Constant (mathematics) Finance 050205 econometrics Block (data storage) |
| Zdroj: | Economics Letters. 199:109704 |
| ISSN: | 0165-1765 |
| DOI: | 10.1016/j.econlet.2020.109704 |
| Popis: | We propose a simple system reduction method to efficiently evaluate the likelihood of a linear dynamic stochastic general equilibrium (DSGE) model solved by the solution method of Sims (2002) or gensys . Since Sims (2002) decouples the stable and unstable block of a DSGE model and solves the unstable block forward as a constant, we do not need to track the dynamics of the unstable block, which effectively reduces the dimension of the model. The present method reduces time to evaluate the likelihood of popular DSGE models by 8.9% to 28.8% compared to the standard method without system reduction. The implementation cost of the present method is almost nil. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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