Solving and Simulating Nonlinear Stochastic Equilibrium Models in Frequency Domain

D. Levy

Solving and Simulating Nonlinear Stochastic Equilibrium Models in Frequency Domain

D. Levy

Department of Economics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-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 language	American English
Title of host publication	WCGJ International Conference Commemorating the 55th Anniversary of the State of Israel
State	Published - 2003

Bibliographical note

Place of conference:Tel-Aviv

Cite this

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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.",

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AB - 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.

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M3 - Conference contribution

BT - WCGJ International Conference Commemorating the 55th Anniversary of the State of Israel

ER -

Solving and Simulating Nonlinear Stochastic Equilibrium Models in Frequency Domain

Abstract

Bibliographical note

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