Abstract

http://ssrn.com/abstract=921357
 
 

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Approximate Solutions to Dynamic Models - Linear Methods


Harald Uhlig


University of Chicago - Department of Economics

August 2006

SFB 649 Discussion Paper No. 2006-030

Abstract:     
Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical methods. It shall be described here first for the example of a simple real business cycle model, including how to easily generate the log-linearized equations needed before solving the linear system. For a general framework, formulas are provided for calculating the recursive law of motion. The algorithm described here is implemented with the toolkit programs.

Number of Pages in PDF File: 12

Keywords: numerical methods, linear solution method, loglinearization, dynamic stochastic general equilibrium methods, recursive law of motion

JEL Classification: C60, C61, C63, E32

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Date posted: August 3, 2006  

Suggested Citation

Uhlig, Harald, Approximate Solutions to Dynamic Models - Linear Methods (August 2006). SFB 649 Discussion Paper No. 2006-030. Available at SSRN: http://ssrn.com/abstract=921357 or http://dx.doi.org/10.2139/ssrn.921357

Contact Information

Harald Uhlig (Contact Author)
University of Chicago - Department of Economics ( email )
1101 East 58th Street
Chicago, IL 60637
United States
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