Estimation and Solution of Models with Expectations and Structural Changes
为带有前瞻性预期和结构性变化的线性化模型开发了求解方法，并展示了如何通过“后向-前向”算法构建似然函数，通过通胀计划和沃尔克反通胀两个例子验证了方法的准确性和高效性。
Summary In this paper, we develop solutions for linearized models with forward‐looking expectations and structural changes under a variety of assumptions regarding agents' beliefs about those structural changes. For each solution, we show how its associated likelihood function can be constructed by using a ‘backward–forward’ algorithm. We illustrate the techniques with two examples. The first considers an inflationary program in which beliefs about the inflation target evolve differently from the inflation target itself, and the second applies the techniques to estimate a new Keynesian model through the Volcker disinflation. We compare our methodology with the alternative in which structural change is captured by switching between regimes via a Markov switching process. We show that our method can produce accurate results much faster than the Markov switching method as well as being easily adapted to handle beliefs departing from reality. Copyright © 2016 John Wiley & Sons, Ltd.