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An Algorithm for Solving Arbitrary Linear Rational Expectations Model

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  • Pawel Kowal

    (Department of Economics Warsaw School of Economics)

Abstract

We consider solutions to general linear dynamic systems, possibly singular and non square with general stability conditions. Besides constructing a general algorytm for finding solutions we provide necessary and sufficient conditions for existence of a solution.

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File URL: http://128.118.178.162/eps/ge/papers/0501/0501001.pdf
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Bibliographic Info

Paper provided by EconWPA in its series GE, Growth, Math methods with number 0501001.

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Length: 17 pages
Date of creation: 17 Jan 2005
Date of revision: 12 Jun 2005
Handle: RePEc:wpa:wuwpge:0501001

Note: Type of Document - pdf; pages: 17. pdf
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Web page: http://128.118.178.162

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Keywords: Computational Methods; Schur Decomposition; GUPTRI Decomposition; Sunspots.;

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References

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  1. Anderson, Evan W. & McGrattan, Ellen R. & Hansen, Lars Peter & Sargent, Thomas J., 1996. "Mechanics of forming and estimating dynamic linear economies," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 4, pages 171-252 Elsevier.
  2. 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.
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Cited by:
  1. Frank Hespeler, 2012. "On Boundary Conditions Within the Solution of Macroeconomic Dynamic Models with Rational Expectations," Computational Economics, Society for Computational Economics, vol. 40(3), pages 265-291, October.
  2. Pawel Kowal, 2005. "Solving Models with Imperfect and Asymmetric Information," Macroeconomics 0505025, EconWPA.
  3. Frank Hespeler, 2008. "Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design," Computational Economics, Society for Computational Economics, vol. 31(3), pages 207-223, April.

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