MCE_SOLVE: a more reliable and efficient solver?
Posted: Mon Mar 27, 2023 6:21 am
Hi,
A solver for linear and non-linear models under model-consistent (MC) or "rational" (RE) expectations in EViews is provided as a part of the FRB/US model project, see:
https://www.federalreserve.gov/econres/ ... ackage.htm
The subroutine can be applied to EViews models in general and they state that the code: "is more reliable and efficient than the RE algorithm built into EViews (Fair-Taylor) at solving FRB/US when any of its expectations are MC."
Is this true?
If so, it would be good if you could implement the more efficient algorithm provided in the MCE_SOLVE subroutine in EViews as well.
Thomas
A solver for linear and non-linear models under model-consistent (MC) or "rational" (RE) expectations in EViews is provided as a part of the FRB/US model project, see:
https://www.federalreserve.gov/econres/ ... ackage.htm
The subroutine can be applied to EViews models in general and they state that the code: "is more reliable and efficient than the RE algorithm built into EViews (Fair-Taylor) at solving FRB/US when any of its expectations are MC."
Is this true?
If so, it would be good if you could implement the more efficient algorithm provided in the MCE_SOLVE subroutine in EViews as well.
Thomas