English, Article, Journal or magazine article edition: Understanding Markov-switching rational expectations models Roger E.A. Farmer; Tao Zha; Daniel F. Waggoner

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Bookmark: http://trove.nla.gov.au/version/161770
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Understanding Markov-Switching Rational Expectations Models
Author
  • Roger E.A. Farmer
  • Tao Zha
  • Daniel F. Waggoner
Physical Description
  • preprint
Notes
  • Econometric models
  • RePEc:fip:fedawp:2009-05
  • We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models and we develop an algorithm to check these conditions in practice. We use three examples, based on the new-Keynesian model of monetary policy, to illustrate our technique. Our work connects applied econometric models of Markov-switching with forward looking rational expectations models and allows an applied researcher to construct the likelihood function for models in this class over a parameter space that includes a determinate region and an indeterminate region.
  • RePEc:nbr:nberwo:14710
Language
  • English
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