Résolution d'un modèle macroéconomique avec anticipations rationnelles
The simulation of a model with rational expectations requires the solution of a system of difference equations with initial and terminal conditions over an infinite time period. This paper first considers the linear case and investigates the kind of errors which result from the substitution of a finite horizon to the infinite one. The results which are found are applied to the evaluation of the various methods of choice of this horizon and the terminal conditions which are related to it, when the model is nonlinear. Then the paper gives a short review of the methods of simulation which are currently used in macroeconomics. Finally it presents a method of relaxation which has not been used yet in economics: this method rests upon the algorithm of Newton-Raphson and the triangulation of a large matrix by Gauss' elimination.
Volume (Year): (1990)
Issue (Month): 17 ()
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