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Matlab Implementation of the AIM Algorithm: A Beginner's Guide

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  • Paolo ZAGAGLIA

    ([n.a.])

Abstract

The Anderson-Moore algorithm provides a well-established solution method for forward-looking linear rational expectations models. It is widely used at the Federal Reserve Board for a variety of purposes, ranging from simulations of macroeconometric models to computations based on models of monetary policy. The aim of this paper is to support a wider use of the Anderson-Moore method by discussing the practical sides of its application. I describe the features of one of its Matlab implementations that is freely downloadable from the web. Experience shows that one is usually required to spend quite some time in order to fully understand how the available Matlab functions work. The úemphasis is on the structures that should be modified to tailor the programs to one's needs. I also present the application of the algorithm to Coenen and Wieland (2000)'s macromodel of the Euro area.

Suggested Citation

  • Paolo ZAGAGLIA, 2002. "Matlab Implementation of the AIM Algorithm: A Beginner's Guide," Working Papers 169, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    • Handle: RePEc:anc:wpaper:169
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    Cited by:

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    5. Anderson, Gary S., 2010. "A reliable and computationally efficient algorithm for imposing the saddle point property in dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 472-489, March.
    6. Marcello MESSORI & Alberto ZAZZARO, 2004. "Monetary profits within the circuit: Ponzi finance oer "mors tua, vita mea"?," Working Papers 200, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    7. Roberto ESPOSTI & Pierpaolo PIERANI, 2005. "Price, Private Demand and Optimal Provision of Public R&D in Italian Agriculture," Working Papers 238, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    8. Elvio MATTIOLI, 2003. "The measurement of coherence in the evaluation of criteria and its effects or ranking problems illustrated using a multicriteria decision method," Working Papers 199, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

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    More about this item

    Keywords

    algebraic methods; macroeconomic modelling; software;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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