Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jan, 1990, Volume 58, Issue 1

Solving Nonlinear Rational Expectations Models: A Stochastic Equilibrium Model of Interest Rates<93:SNREMA>2.0.CO;2-V
p. 93-111

Alfonso Novales

We introduce in this paper a method for solving nonlinear-quadratic Pareto problems. The method provides the investigator with a set of time series realizations for the variables in the economy. By obtaining a large number of these realizations, we can approximate the empirical distributions of a variety of statistics, which will give a detailed description of the model's properties. In particular, those statistics can be compared with the similar ones obtained from actual data, and different criteria for goodness of fit can be defined on the basis of these comparisons.

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