A Note on the Uniqueness of Solutions to Rational Expectations Models
Klein (2000) advocates the use of the Schur decomposition of a matrix pencil o solve linear rational expectations (RE) models. Meanwhile his algorithm has ecome a center piece in several computer codes that provide approximate olutions to (non-linear) dynamic stochastic general equilibrium (DSGE) models. A ubtlety not resolved by Klein is whether or not a certain Schur decompostion ould fail to solve the model while a second one would provide a solution. We how that this cannot happen.
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- Schmitt-Grohe, Stephanie & Uribe, Martin, 2004.
"Solving dynamic general equilibrium models using a second-order approximation to the policy function,"
Journal of Economic Dynamics and Control,
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- Stephanie Schmitt-Grohe & Martin Uribe, 2001. "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," Departmental Working Papers 200106, Rutgers University, Department of Economics.
- Stephanie Schmitt-Grohe & Martin Uribe, 2002. "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," NBER Technical Working Papers 0282, National Bureau of Economic Research, Inc.
- Paul Gomme & Paul Klein, 2009.
"Second-order approximation of dynamic models without the use of tensors,"
09004, Concordia University, Department of Economics, revised 28 Apr 2010.
- Gomme, Paul & Klein, Paul, 2011. "Second-order approximation of dynamic models without the use of tensors," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 604-615, April.
- Burkhard Heer & Alfred Maussner, 2004.
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1207, CESifo Group Munich.
- Heer, Burkhard & Maußner, Alfred, 2008. "Computation Of Business Cycle Models: A Comparison Of Numerical Methods," Macroeconomic Dynamics, Cambridge University Press, vol. 12(05), pages 641-663, November.
- Klein, Paul, 2000. "Using the generalized Schur form to solve a multivariate linear rational expectations model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1405-1423, September.
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