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Solving Rational-Expectations Models through the Anderson-Moore Algorithm: An Introduction to the Matlab Implementation

  • Paolo Zagaglia

    ()

The Anderson-Moore algorithm provides a well-established solution method for systems of linear rational expectations equations. The purpose of this paper is to support a wider use of the algorithm by describing two sets of Matlab routines that allow its practical implementation. The emphasis is on the structures that should be modified to tailor the programs to one’s needs. I present the application of the algorithm for the solution of a version of [Coenen, G. and V. Wieland, ECB Working Paper, No. 30 (2000)]’s macroeconometric model of the Euro area. Copyright Springer Science + Business Media, Inc. 2005

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File URL: http://hdl.handle.net/10.1007/s10614-005-7751-x
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Article provided by Society for Computational Economics in its journal Computational Economics.

Volume (Year): 26 (2005)
Issue (Month): 1 (August)
Pages: 91-106

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Handle: RePEc:kap:compec:v:26:y:2005:i:1:p:91-106
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=100248

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  1. Coenen, Günter & Wieland, Volker, 2002. "A Small Estimated Euro Area Model with Rational Expectations and Nominal Rigidities," CEPR Discussion Papers 3574, C.E.P.R. Discussion Papers.
  2. Jeff Fuhrer & George Moore, 1993. "Inflation persistence," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  3. Jeffrey C. Fuhrer & C. Hoyt Bleakley, 1996. "Computationally efficient solution and maximum likelihood estimation of nonlinear rational expectation models," Working Papers 96-2, Federal Reserve Bank of Boston.
  4. repec:nbr:nberre:0126 is not listed on IDEAS
  5. Anderson, Gary & Moore, George, 1985. "A linear algebraic procedure for solving linear perfect foresight models," Economics Letters, Elsevier, vol. 17(3), pages 247-252.
  6. 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.
  7. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 1-23, February.
  8. Fagan, Gabriel & Henry, Jérôme & Mestre, Ricardo, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 0042, European Central Bank.
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