An Algorithm for Solving Arbitrary Linear Rational Expectations Model
AbstractWe 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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Bibliographic InfoPaper provided by EconWPA in its series GE, Growth, Math methods with number 0501001.
Length: 17 pages
Date of creation: 17 Jan 2005
Date of revision: 12 Jun 2005
Note: Type of Document - pdf; pages: 17. pdf
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Computational Methods; Schur Decomposition; GUPTRI Decomposition; Sunspots.;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
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- 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
- Lars Peter Hansen & Ellen R. McGrattan & Thomas J. Sargent, 1994. "Mechanics of forming and estimating dynamic linear economies," Staff Report 182, Federal Reserve Bank of Minneapolis.
- 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.
- 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.
- Pawel Kowal, 2005. "Solving Models with Imperfect and Asymmetric Information," Macroeconomics 0505025, EconWPA.
- 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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