GAUSS and Matlab codes for Solution of Finite-Horizon Multivariate Linear Rational Expectations Models and Sparse Linear Systems
AbstractCode for article published in Journal of Economic Dynamics and Control, 24 (2000), pp. 325â€“3. Currently, you may download four GAUSS programs and four MATLAB programs from this page. The programs CESLDU.PRG (GAUSS) and CESLDU.M (MATLAB) solve the expenditure share problem described in Section 6 of the paper using the numerical scheme of Proposition 5.1 in the paper, and are based on the canonical form (6.10) in the paper. The programs CESLDUR.PRG (GAUSS) and CESLDUR.M (MATLAB) also solve the expenditure share problem described in Section 6 of the paper using the numerical scheme of Proposition 5.1 in the paper, but are based on the canonical form (6.14) in the paper. The remaining programs illustrate how one may use the numerical schemes discussed in the paper for the solution of infinite-horizon multivariate linear rational expectations models. The programs SGLDU.PRG (GAUSS) and SGLDU.M (MATLAB) solve a simple infinite-horizon stochastic growth model using the numerical scheme of Proposition 5.1 in the paper. The programs SGBOWDEN.PRG (GAUSS) and SGBOWDEN.M (MATLAB) solve the same stochastic growth model using the numerical scheme of Proposition 5.2 in the paper. To run either one of the GAUSS programs for the stochastic growth model, you will also need to donwload the procedure MATPOW.G. The stochastic growth model solved in these programs and some further issues that arise when using the numerical schemes of this paper for the solution of infinite-horizon multivariate linear rational expectations models are discussed in a note that is also available.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 72.
Programming language: GAUSS
Date of creation: 1997
Date of revision:
Other versions of this item:
- Pesaran, M. H. & Binder, M., 1997. "Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems," Cambridge Working Papers in Economics 9708, Faculty of Economics, University of Cambridge.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).
If references are entirely missing, you can add them using this form.