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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:
Reports
Department(s):
Earth Institute
Persistent URL:
Series:
NBER Technical Working Paper
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):
Managerial economics
Economics
Item views
194
Metadata:
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Suggested Citation:
David Lipton, James Poterba, Jeffrey D. Sachs, Lawrence Summers, , Multiple Shooting in Rational Expectations Models, Columbia University Academic Commons, .

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