marstesla / linear-dsge-models

Methods for solving and estimating linear rational expectation models.

Linear Rational Expectations Models

Read "Notes on Linear RE models.pdf".

I document some widely used methods in solving and estimating linear rational expectation models. I start presenting different solution methods and explaining how we can use these algorithms to solve simple models. Then, I make a brief review of Bayesian statistics. After that, I explain in a general way the usefulness of the Kalman Filter and give some useful examples. Finally, I present a simple sampler algorithm used in the estimation of linear rational expectation models and expose the way we implement it in a small open economy model using Peruvian data.

Folders:

1. Estimation: Contains codes for bayesian estimation and Sims' code for solving linear RE models.
2. Solution: Contains own codes for solving linear RE models.

Files:

1. main_sol.m: replicates the applications of the "solution codes".
2. main_KF.m: replicates the applications of the Kalman Filter.
3. main.m: replicates the estimation of a SOE model using Peruvian data.

Contributor

Alex Carrasco / [email protected]