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GAUSS and Matlab codes for Solution of Finite-Horizon Multivariate Linear Rational Expectations Models and Sparse Linear Systems

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Author Info

  • Michael Binder

    (University of Frankfurt)

  • M. Hashem Pesaran

    (University of Cambridge)

Abstract

Code for article published in Journal of Economic Dynamics and Control, 24 (2000), pp. 325–3. 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.

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File URL: http://dge.repec.org/codes/binder/jedc/
File Function: program code
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Bibliographic Info

Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 72.

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Programming language: GAUSS
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Date of creation: 1997
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Handle: RePEc:dge:qmrbcd:72

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