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A Fast Algorithm for Solving Rational Expectations Models

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  • Wilcoxen, Peter

Abstract

At the heart of most rational expectations models is a system of first order differential equations describing the behaviour of the model's endogenous variables. The methods commonly used to solve these models, such as multiple shooting and Fair's algorithm, can be very slow to converge. This paper describes a generalization of Fair's technique that is significantly faster while providing equally accurate results.

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Handle: RePEc:ags:ircipa:295063
DOI: 10.22004/ag.econ.295063
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