Matlab Code for Solving Linear Rational Expectation Models with Lagged Expectations Quickly and Easily
AbstractThis program contains a solution and an estimation method for linear rational expectations models with lagged expectations (e.g., sticky information). The solution method is a synthetic approach, combining state-space and infinite-MA representations with a simple system of linear equations. The advantage of the approach lies in its particular combination of methods familiar elsewhere in the literature to provide faster execution, more general applicability, and more straightforward usage than with existing algorithms. Bayesian methods are employed for estimation without the Kalman filter by using an alternative recursive algorithm to evaluate the likelihood function. The software provides impulse responses to anticipated and unanticipated innovations, simulations, and frequency-domain and simulated moments.
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 171.
Programming language: Matlab
Date of creation: 30 Oct 2007
Date of revision: Apr 2010
Other versions of this item:
- Alexander Meyer-Gohde, 2007. "Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily," SFB 649 Discussion Papers SFB649DP2007-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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