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Matlab code for ordered real generalized Schur decomposition

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  • Evan Anderson
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    Abstract

    This program computes the ordered generalized real Schur decomposition of the matrix pencil lambda L - N such that LBAR is upper triangular, NBAR is upper block triangular, V is the matrix of right Shur vectors such that for some orthogonal matrix W W L V = LBAR, W N V = NBAR, and the generalized eigenvalues of the pencil are given by (alpha ./ beta). If order =1 then the unstable eigenvalues appear first in the pencil lambda LBAR - NBAR. If order =0 then the stable eigenvalues appear first. (The order of the eigenvalues in (alpha ./ beta) is not related to the order of the eigenvalues in the pencil.)

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    File URL: http://dge.repec.org/codes/anderson/schurg.m
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    File URL: http://dge.repec.org/codes/anderson/schurg.dll
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    Bibliographic Info

    Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 27.

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    Programming language: Matlab
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    Date of creation: Jan 1995
    Date of revision:
    Handle: RePEc:dge:qmrbcd:27

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