1.1. RISE at a glance

RISE is the acronym for Rationality In Switching Environments.

It is an object-oriented Matlab toolbox primarily designed for solving and estimating nonlinear dynamic stochastic general equilibrium (DSGE) or more generally Rational Expectations (RE) models with regime switches .

The switching process can be endogenous. RISE uses perturbation to approximate the nonlinear Regime Switching DSGE (RS-DSGE) model and solves it using efficient algorithms.

In the paper “Efficient Perturbation Methods for Solving Regime-Switching DSGE Models”, [Maih, 2015] describes the basic problem and the solution approach in RISE. Other good references in the field include various papers by Tao Zha and Dan Waggoner, by Eric Leeper, among others.

RISE also implements special cases of the general RS-DSGE model, including

  • The DSGE model with constant parameters

  • The DSGE-VAR model

  • VARs with and without switching parameters

  • Panel VARs with and without switching parameters

  • Proxy VARs with and without switching parameters

  • SVARs with and without switching parameters

  • etc.

Within the DSGE framework, RISE also includes the solution and estimation of

  • Loose commitment (or optimal policy) models

  • hybrid expectations models

  • models in which agents have information about future events