Solving Rational-Expectations Models through the Anderson-Moore Algorithm: An Introduction to the Matlab Implementation
AbstractThe Anderson-Moore algorithm provides a well-established solution method for systems of linear rational expectations equations. The purpose of this paper is to support a wider use of the algorithm by describing two sets of Matlab routines that allow its practical implementation. The emphasis is on the structures that should be modified to tailor the programs to one’s needs. I present the application of the algorithm for the solution of a version of [Coenen, G. and V. Wieland, ECB Working Paper, No. 30 (2000)]’s macroeconometric model of the Euro area. Copyright Springer Science + Business Media, Inc. 2005
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 26 (2005)
Issue (Month): 1 (August)
computational methods; rational expectations; software;
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