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Computation of Business-Cycle Models with the Generalized Schur Method

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  • Burkhard Heer
  • Alfred Maussner

Abstract

We describe an algorithm that is able to compute the solution of a singular linear difference system under rational expectations. The algorithm uses the Generalized Schur Factorization and is illustrated by a simple example.

Suggested Citation

  • Burkhard Heer & Alfred Maussner, 2009. "Computation of Business-Cycle Models with the Generalized Schur Method," CESifo Working Paper Series 2873, CESifo.
    • Handle: RePEc:ces:ceswps:_2873
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    References listed on IDEAS

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    1. Aruoba, S. Boragan & Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Comparing solution methods for dynamic equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2477-2508, December.
    2. Burkhard Heer & Alfred Maussner, 2006. "Business Cycle Dynamics of a New Keynesian Overlapping Generations Model with Progressive Income Taxation," CESifo Working Paper Series 1692, CESifo.
    3. Hansen, Gary D., 1985. "Indivisible labor and the business cycle," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 309-327, November.
    4. King, Robert G & Watson, Mark W, 2002. "System Reduction and Solution Algorithms for Singular Linear Difference Systems under Rational Expectations," Computational Economics, Springer;Society for Computational Economics, vol. 20(1-2), pages 57-86, October.
    5. Heer, Burkhard & Maußner, Alfred, 2008. "Computation Of Business Cycle Models: A Comparison Of Numerical Methods," Macroeconomic Dynamics, Cambridge University Press, vol. 12(5), pages 641-663, November.
    6. Robin Brooks, 2002. "Asset-Market Effects of the Baby Boom and Social-Security Reform," American Economic Review, American Economic Association, vol. 92(2), pages 402-406, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    stochastic dynamic general equilibrium; linear solution methods; algorithm; Generalized Schur factorization; business cycles;
    All these keywords.

    JEL classification:

    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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