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Matlab Code for Solving Linear Rational Expectation Models with Lagged Expectations Quickly and Easily

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Author Info

  • Alexander Meyer-Gohde

    (Technical University Berlin)

Abstract

This 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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File URL: http://dge.repec.org/codes/meyer-gohde/Linlagex_Release_published.zip
File Function: program code, examples and manual (published version)
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File URL: http://dge.repec.org/codes/meyer-gohde/LinLagEx_Release_1_1.zip
File Function: program code, examples and manual (update)
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File URL: http://dge.repec.org/codes/meyer-gohde/LinLagEx_0_1.zip
File Function: program code, examples and manual
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Bibliographic Info

Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 171.

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Programming language: Matlab
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Date of creation: 30 Oct 2007
Date of revision: Apr 2010
Handle: RePEc:dge:qmrbcd:171

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