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Multiple Shooting in Rational Expectations Models

David Lipton; James Poterba; Jeffrey D. Sachs; Lawrence Summers

Title:
Multiple Shooting in Rational Expectations Models
Author(s):
Lipton, David
Poterba, James
Sachs, Jeffrey D.
Summers, Lawrence
Date:
Type:
Working papers
Department:
Earth Institute
Permanent URL:
Part Number:
3
Publisher:
National Bureau of Economic Research
Publisher Location:
Cambridge, Mass.
Abstract:
This note describes an algorithm for the solution of rational expectations models with saddlepoint stability properties. The algorithm is based on the method of multiple shooting, which is widely used to solve mathematically similar problems in the physical sciences. Potential applications to economics include models of capital accumulation and valuation, money arid growth, exchange rate determination, and macroeconomic activity. In general, whenever an asset price incorporates information about the future path of key variables, solution algorithms of the type we consider are applicable.
Subject(s):
Economic theory
Item views:
161
Metadata:
text | xml

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