Solving and Simulating Nonlinear Stochastic Equilibrium Models in Frequency Domain

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

I propose a method of endogenous calibration of nonlinear stochastic equilibrium models, by taking advantage of spectral properties of economic data. Model parameters are determined by minimizing a distance metric specified in frequency domain. Several weight functions are discussed and their usefulness is assessed. Both univariate and multivariate settings are considered. Models' statistical testing strategies are discussed.
Original languageAmerican English
Title of host publicationWCGJ International Conference Commemorating the 55th Anniversary of the State of Israel
StatePublished - 2003

Bibliographical note

Place of conference:Tel-Aviv

Fingerprint

Dive into the research topics of 'Solving and Simulating Nonlinear Stochastic Equilibrium Models in Frequency Domain'. Together they form a unique fingerprint.

Cite this