Solving Linear Rational Expectations Models

By Christopher A. Sims. 2002

1,373 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Economics and Econometrics, Management Information Systems

View Paper: https://www.semanticscholar.org/paper/631b4dc980ed1bf2aee7fef9ab9ed2b8ce16a038

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Citations in the corpus

Solution of macromodels with HansenSargent robust policies: some extensions (2002, neutral): “…and 4: the public fears more persistent effects of shocks and multiperiod interest rates overreact.21 Application: Publishing Central Bank Forecasts Sims (2001a) argues that a min-max approach to robustness is better suited to capture 21We obtained similar results on the behavior of long interest…”
Is there a trade-off between inflation and output stabilization? (2013, neutral): “We then log-linearize (3.1) around the non-stochastic steady state and solve the resulting linear system of rational expectation equations by standard methods (for example Sims (2001)).”
Oil and the Great Moderation (2010, neutral): “We approximate our model to …rst-order and solve it with a standard method for linear rational expectations models (e.g. Sims 2002, and Klein, 2000).”
Fiscal Stimulus in a Monetary Union: Evidence from U.S. Regions (2014, neutral): “We log-linearize the equilibrium conditions of the model and use the methods of Sims (2001) to find the unique bounded equilibrium.”
Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation (2007, methodology): “The model is solved using the method described in Sims (2002).”
Solving Heterogeneous-Agent Models by Projection and Perturbation (2009, methodology): “(24a) uses the notation of Sims (2001): the ηci,t are expectation errors that are determined endogenously in the solution of the system (cf. Section 3.3).”
Rare shocks, great recessions (2013, positive): “We use the method in Sims (2002) to solve the log-linear approximation of the DSGE model.”
Solving Linear Rational Expectations Models: A Horse Race (2006, neutral): “(Sims, 1996) describes the QZ Method.”
On-the-Job Search and the Cyclical Dynamics of the Labor Market (2007, neutral): “The resulting linear rational expectations model is solved by the method described in Sims (2002).”
Forecasting: theory and practice (2020, methodology): “Using a solution algorithm (for example, Blanchard and Kahn, 1980; Sims, 2002), researchers can write the model using the state-space representation composed by the transition equation and the measurement equation.”
On the Fit of New Keynesian Models (2007, methodology): “We find the steady states for the detrended variables and use the method of Sims (2002) to construct a loglinear approximation of the model around the steady state.”
Public Investment in Resource-Abundant Developing Countries (2012, methodology): “Instead of obtaining a nonlinear perfect foresight solution as in CEMAC simulations, the equilibrium here is log-linearized and solved by Sims’s (2001) method for rational expectations models.”