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Licensed Unlicensed Requires Authentication Published by De Gruyter June 30, 2010

Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends

  • Martin M Andreasen
From the journal The B.E. Journal of Macroeconomics
https://doi.org/10.2202/1935-1690.2104

It is well-established that the presence of deterministic and/or stochastic trends in DSGE models may imply that the agents' objective functions attain infinite values. This is the case even if the subjective discount factor is strictly less than one. Currently, sufficient conditions ensuring finiteness of the objective functions when deterministic and stochastic trends are included have not been derived. This paper derives such conditions.

Keywords: error distributions; moment generating functions; stochastic trends
Published Online: 2010-6-30

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston

From the journal
The B.E. Journal of Macroeconomics
The B.E. Journal of Macroeconomics
Volume 10 Issue 1
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