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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Measures of potential output from an estimated DSGE model of the United States
 Juillard, Michel ; Kameník, Ondřej ; Kumhof, Michael ; Laxton, Douglas
This paper develops a DSGE model for the United States that features rational inflation inertia and persistence. The model is estimated with Bayesian-estimation techniques and time-varying inflation objectives to account for movements between regimes. After showing that the model produces forecasts that are quite competitive with other methods writers use the forecasts of the model to generate more robust Hodrick-Prescott filter end-of-sample estimates of the output gap.
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Solving SDGE models: a new algorithm for the sylvester equation
 Kameník, Ondřej
This paper presents a new numerical algorithm for solving the Sylvester equation involved in higher-order perturbation methods developed for solving stochastic dynamic general equilibrium models. The new algorithm surpasses other methods used so far (including the very popular doubling algorithm) in terms of computational time, memory consumption, and numerical stability.
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1 Kameník, Ondra
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