The Research Department of the Federal Reserve Bank of Atlanta publishes a working paper series to convey the research of staff economists and visiting scholars and stimulate professional discussion and exploration of economic and financial subjects.
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Perturbation Methods for Markov-Switching DSGE Models
Andrew Foerster, Juan Rubio-Ramírez, Daniel F. Waggoner, and Tao Zha
Working Paper 2013-1 (March)
The authors develop a methodology for constructing approximations to Markov-switching models and identify the bottleneck of obtaining all approximated solutions. Application to different models illustrates its feasibility and practicality.
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