gensys: Gensys Solver.

In kthohr/BMR: Bayesian Macroeconometrics in R

Description

Solve a DSGE model using Sims' method.

Usage

gensys(Gamma0,Gamma1,C,Psi,Pi)

Arguments

Gamma0	Coefficients on present-time variables.
Gamma1	Coefficients on lagged variables.
C	Intercept terms.
Psi	Coefficients on any exogenous shocks.
Pi	One-step-ahead expectational errors.

Details

For the technical details of Sims' method, see the accompanying vignette.

Value

The function returns an object of class ‘gensys’, which contains:

G1	Autoregressive solution matrix.
Cons	Intercept terms.
impact	Coefficients on the exogenous shocks.
eu	A 2 x 1 vector indicating existence and uniqueness (respectively) of the solution. A value of 1 can be read as ‘yes’, while 0 is ‘no’.
Psi	User-specified shock matrix.
Pi	User-specified expectational errors matrix.

Author(s)

Keith O'Hara

References

Sims, Christopher A., Solving Linear Rational Expectations Models, Computational Economics, 20(2), 2002.

See Also

IRF.gensys, DSGESim.

Examples

## Not run: 
dsgetest <- gensys(Gamma0,Gamma1,C,Psi,Pi)

## End(Not run)

kthohr/BMR documentation built on May 20, 2019, 7:04 p.m.