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Solving Rational-Expectations Models through the Anderson-Moore Algorithm: An Introduction to the Matlab Implementation

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  • Paolo Zagaglia

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Abstract

The 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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File URL: http://hdl.handle.net/10.1007/s10614-005-7751-x
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Bibliographic Info

Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 26 (2005)
Issue (Month): 1 (August)
Pages: 91-106

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Handle: RePEc:kap:compec:v:26:y:2005:i:1:p:91-106

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Web page: http://www.springerlink.com/link.asp?id=100248
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Keywords: computational methods; rational expectations; software;

References

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  1. Jeff Fuhrer & George Moore, 1993. "Inflation persistence," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  2. Jeffrey C. Fuhrer & C. Hoyt Bleakley, . "Computationally Efficient Solution and Maximum Likelihood Estimation of Nonlinear Rational Expectations Models," Computing in Economics and Finance 1997 35, Society for Computational Economics.
  3. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
  4. Coenen, Günter & Wieland, Volker, 2000. "A small estimated euro area model with rational expectations and nominal rigidities," Working Paper Series 0030, European Central Bank.
  5. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
  6. Anderson, Gary & Moore, George, 1985. "A linear algebraic procedure for solving linear perfect foresight models," Economics Letters, Elsevier, vol. 17(3), pages 247-252.
  7. Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 0042, European Central Bank.
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Cited by:
  1. Zhen, Chen, 2009. "Long-Run Effects From Consumer Reaction To The Spread Of Foodborne Pathogens: The Case Of E. Coli Contamination Of Beef At Jack In The Box Restaurants," 2009 Conference, August 16-22, 2009, Beijing, China 51341, International Association of Agricultural Economists.

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