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Linear Quadratic Optimization for Models with Rational Expectations

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Author Info
Hans M. Amman (University of Amsterdam)
David A. Kendrick (University of Texas, USA)

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Abstract

In this paper we present a method for using rational expectations in a linear-quadratic optimization framework. Following the approach put forward by Sims, we solve the model through a QZ decomposition, which is generally easier to implement than the more widely used method of Blanchard and Kahn.

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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 97-102/2.

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Date of creation: 09 Oct 1997
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Handle: RePEc:dgr:uvatin:19970102

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Amman, Hans M. & Kendrick, David A. & Achath, Sudhakar, 1995. "Solving stochastic optimization models with learning and rational expectations," Economics Letters, Elsevier, vol. 48(1), pages 9-13, April. [Downloadable!] (restricted)
  2. Hans M. Amman & David A. Kendrick, 1997. "Computing the Steady State of Linear Quadratic Optimization Models with Rational Expectations," Economics, University of Texas at Austin 9707, Center for Applied Research in Economics. [Downloadable!]
    Other versions:
  3. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Cowles Foundation Discussion Papers 564, Cowles Foundation, Yale University. [Downloadable!]
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  4. Hans M. Amman & David A. Kendrick, 1996. "The DUALI/DUALPC Software for Optimal Control Models: Introduction," Economics, University of Texas at Austin 9602, Center for Applied Research in Economics. [Downloadable!]
  5. Fisher, P. G. & Holly, S. & Hughes Hallett, A. J., 1986. "Efficient solution techniques for dynamic non-linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 139-145, June. [Downloadable!] (restricted)
  6. Amman, Hans M., 1990. "Implementing stochastic control software on supercomputing machines," Journal of Economic Dynamics and Control, Elsevier, vol. 14(2), pages 265-279, May. [Downloadable!] (restricted)
  7. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, March. [Downloadable!]
  8. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July. [Downloadable!] (restricted)
  9. Amman, Hans M. & Neudecker, Heinz, 1997. "Numerical solutions of the algebraic matrix Riccati equation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(2-3), pages 363-369. [Downloadable!] (restricted)
  10. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-91, June. [Downloadable!] (restricted)
  11. Anderson, Gary & Moore, George, 1985. "A linear algebraic procedure for solving linear perfect foresight models," Economics Letters, Elsevier, vol. 17(3), pages 247-252. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Hans M. Amman & David A. Kendrick, 1997. "Computing the Steady State of Linear Quadratic Optimization Models with Rational Expectations," Economics, University of Texas at Austin 9707, Center for Applied Research in Economics. [Downloadable!]
    Other versions:
  2. Luisa Corrado & Sean Holly, 2006. "The Linearisation and Optimal Control of Large Non-Linear Rational Expectations Models by Persistent Excitation," Computational Economics, Springer, vol. 28(2), pages 139-153, September. [Downloadable!] (restricted)
  3. David A. Kendrick & Hans M. Amman & Marco P. Tucci, 2008. "Learning About Learning in Dynamic Economic Models," Working Papers 08-20, Utrecht School of Economics. [Downloadable!]
  4. Pedro Francisco Páez, 2005. "Are the Washington Consensus Policies Sustainable? Game Theoretical Assessment for the Case of Ecuador," Working Paper Series, Department of Economics, University of Utah 2005_07, University of Utah, Department of Economics. [Downloadable!]
  5. Ray Fair, 2003. "Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations," Computational Economics, Springer, vol. 21(3), pages 245-256, June. [Downloadable!] (restricted)
    Other versions:
  6. David Kendrick & Hans Amman, 2006. "A Classification System for Economic Stochastic Control Models," Computational Economics, Springer, vol. 27(4), pages 453-481, June. [Downloadable!] (restricted)
    Other versions:
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