GAUSS and Matlab codes for Multivariate Linear Rational Expectations Models: Characterization of the Nature of the Solutions and Their Fully Recursive Computation
AbstractCode for article published in Econometric Theory, 13 (1997), pp. 877-888. Currently, you may download two GAUSS programs and two MATLAB programs from this page. Both programs solve the real business cycle model of Christiano and Eichenbaum (1992). (See also Binder and Pesaran, 1995). The programs RBCQDE.PRG (GAUSS) and RBCQDE.M (MATLAB) solve this model using the quadratic determinantal equation method, and the programs RBCFRM.PRG (GAUSS) and RBCFRM.M (MATLAB) solve this model using the fully recursive method suggested in this paper. To run either one of the GAUSS programs, you will also need to download the procedure MATPOW.G.
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 73.
Programming language: GAUSS
Date of creation: 1997
Date of revision:
Other versions of this item:
- Binder, M. & Pesaran, H., 1996. "Multivariate Linear Rational Expectations Models: Characterisation of the Nature of the Solutions and Their Fully Recursive Computation," Cambridge Working Papers in Economics 9619, Faculty of Economics, University of Cambridge.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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