Predetermined and jump variables

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Predetermined and jump variables

Postby furfurfur » Mon Mar 27, 2017 10:30 am

Hello everyone!
Suppose I have a following system: A0 * E{y(t+1)} = A1 * y(t) + A2 * y(t-1) + B * eps(t). How to implement a algorithm of separation of variables on predetermined and jump variables? How Dynare does this? Do I correctly understand that I can just define x(t) = y(t-1) as predetermined variables and y(t) as jump variables?
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Re: Predetermined and jump variables

Postby jpfeifer » Mon Mar 27, 2017 6:32 pm

I am not sure I fully understand your question. Dynare has a timing convention. Whenever a variable appears with a (-1), it must be a predetermined variable. Details what Dynare does are in Villemot (2009): "Solving rational expectations models at first order: what Dynare does", http://www.dynare.org/wp-repo/dynarewp002.pdf
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University of Cologne
https://sites.google.com/site/pfeiferecon/
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