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An eigenvalue method of undetermined coefficients for solving linear rational expectations models

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  • Zadrozny, Peter A.

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  • Zadrozny, Peter A., 1998. "An eigenvalue method of undetermined coefficients for solving linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1353-1373, August.
    • Handle: RePEc:eee:dyncon:v:22:y:1998:i:8-9:p:1353-1373
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    1. Raouf Boucekkine & Cuong Le Van & Katheline Schubert, "undated". "How to Get the Blanchard-Kahn Form from a General Linear Rational Expectations Model," Computing in Economics and Finance 1996 _035, Society for Computational Economics.
    2. Broze, Laurence & Gouriéroux, Christian & Szafarz, Ariane, 1995. "Solutions of multivariate Rational Expectations Models," Econometric Theory, Cambridge University Press, vol. 11(2), pages 229-257, February.
    3. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-1311, July.
    4. Anderson, Gary & Moore, George, 1985. "A linear algebraic procedure for solving linear perfect foresight models," Economics Letters, Elsevier, vol. 17(3), pages 247-252.
    5. Salemi, Michael K. & Song, Jaeyeong, 1992. "Saddlepath solutions for multivariate linear rational expectations models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 245-269.
    6. Ates Dagli, C. & Taylor, John B., 1984. "Estimation and solution of linear rational expectations models using a polynomial matrix factorization," Journal of Economic Dynamics and Control, Elsevier, vol. 8(3), pages 341-348, December.
    7. Binder,M. & Pesaran,H.M., 1995. "Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results," Cambridge Working Papers in Economics 9415, Faculty of Economics, University of Cambridge.
    8. Buiter, Willem H., 1982. "Predetermined and non-predetermined variables in rational expectations models," Economics Letters, Elsevier, vol. 10(1-2), pages 49-54.
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    Cited by:

    1. Thornton, Michael A. & Chambers, Marcus J., 2017. "Continuous time ARMA processes: Discrete time representation and likelihood evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 48-65.
    2. Hernandez, Kolver, 2013. "A system reduction method to efficiently solve DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 571-576.
    3. George A. Slotsve & James M. Nason, 2003. "Along the New Keynesian Phillips Curve with Nominal and Real Rigidities," Computing in Economics and Finance 2003 270, Society for Computational Economics.
    4. Peter A. Zadrozny, 2022. "Linear Identification of Linear Rational-Expectations Models by Exogenous Variables Reconciles Lucas and Sims," CESifo Working Paper Series 10078, CESifo.
    5. Zadrozny, Peter A., 2016. "Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 438-446.
    6. Baoline Chen & Peter A. Zadrozny, 2005. "Multi-Step Perturbation Solution of Nonlinear Rational Expectations Models," Computing in Economics and Finance 2005 254, Society for Computational Economics.
    7. Meyer-Gohde, Alexander, 2010. "Linear rational-expectations models with lagged expectations: A synthetic method," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 984-1002, May.
    8. Onatski, Alexei, 2006. "Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 323-345, February.
    9. Balvers, Ronald J. & Mitchell, Douglas W., 2007. "Reducing the dimensionality of linear quadratic control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 141-159, January.
    10. Nason, James M. & Rogers, John H., 2006. "The present-value model of the current account has been rejected: Round up the usual suspects," Journal of International Economics, Elsevier, vol. 68(1), pages 159-187, January.
    11. Richard Mash, 2003. "A Note on Simple MSV Solution Methods for Rational Expectations Models of Monetary Policy," Economics Series Working Papers 173, University of Oxford, Department of Economics.
    12. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
    13. Gary Anderson, 2008. "Solving Linear Rational Expectations Models: A Horse Race," Computational Economics, Springer;Society for Computational Economics, vol. 31(2), pages 95-113, March.
    14. Zadrozny, Peter A., 2022. "Linear identification of linear rational-expectations models by exogenous variables reconciles Lucas and Sims," CFS Working Paper Series 682, Center for Financial Studies (CFS).
    15. Tan, Fei & Walker, Todd B., 2015. "Solving generalized multivariate linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 95-111.
    16. Binder, Michael & Pesaran, Hashem, 2000. "Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 325-346, March.
    17. Peter Zadrozny, 1997. "An Econometric Analysis of Polish Inflation Dynamics with Learning about Rational Expectations," Economic Change and Restructuring, Springer, vol. 30(2), pages 221-238, May.
    18. Ric D. Herbert & Peter Stemp & Peter J. Stemp, 2000. "Exploiting Model Structure to Solve the Dynamics of a Macro Model," CESifo Working Paper Series 266, CESifo.

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