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Solving rational expectations models at first order: what Dynare does

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Author Info

  • Villemot, Sébastien

Abstract

This paper describes in detail the algorithm implemented in Dynare for computing the first order approximated solution of a nonlinear rational expectations model. The core of the algorithm is a generalized Schur decomposition (also known as the QZ decomposition), as advocated by several authors in the litterature. The contribution of the present paper is to focus on implementation details that make the algorithm more generic and more efficient, especially for large models.

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File URL: http://www.dynare.org/wp-repo/dynarewp002.pdf
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Bibliographic Info

Paper provided by CEPREMAP in its series Dynare Working Papers with number 2.

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Length: 10 pages
Date of creation: Apr 2011
Date of revision:
Handle: RePEc:cpm:dynare:002

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Related research

Keywords: Dynare; Numerical methods; Perturbation; Rational expectations;

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Cited by:
  1. Enrique Martínez-García & Diego Vilán & Mark Wynne, 2012. "Bayesian estimation of NOEM models: identification and inference in small samples," Globalization and Monetary Policy Institute Working Paper 105, Federal Reserve Bank of Dallas.

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