Solving linear rational expectations models: a horse race
This paper compares the functionality, accuracy, computational efficiency, and practicalities of alternative approaches to solving linear rational expectations models, including the procedures of (Sims, 1996), (Anderson and Moore, 1983), (Binder and Pesaran, 1994), (King and Watson, 1998), (Klein, 1999), and (Uhlig, 1999). While all six procedures yield similar results for models with a unique stationary solution, the AIM algorithm of (Anderson and Moore, 1983) provides the highest accuracy; furthermore, this procedure exhibits significant gains in computational efficiency for larger-scale models.
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.federalreserve.gov/
More information through EDIRC
|Order Information:||Web: http://www.federalreserve.gov/pubs/feds/fedsorder.html|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gary S. Anderson, 2010.
"A reliable and computationally efficient algorithm for imposing the saddle point property in dynamic models,"
Finance and Economics Discussion Series
2010-13, Board of Governors of the Federal Reserve System (U.S.).
- Anderson, Gary S., 2010. "A reliable and computationally efficient algorithm for imposing the saddle point property in dynamic models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 472-489, March.
- Broze, Laurence & Gourieroux Christian & Szafarz A, 1984.
"Solutions of dynamic linear rational expectations models,"
CEPREMAP Working Papers (Couverture Orange)
- Laurence Broze & Christian Gouriéroux & Ariane Szafarz, 1985. "Solutions of Dynamic Linear Rational Expectations Models," ULB Institutional Repository 2013/675, ULB -- Universite Libre de Bruxelles.
- Anderson, Gary & Moore, George, 1985. "A linear algebraic procedure for solving linear perfect foresight models," Economics Letters, Elsevier, vol. 17(3), pages 247-252.
- Broze, Laurence & Gouriéroux, Christian & Szafarz, Ariane, 1995.
"Solutions of multivariate Rational Expectations Models,"
Cambridge University Press, vol. 11(02), pages 229-257, February.
- Laurence Broze & Christian Gouriéroux & Ariane Szafarz, 1995. "Solutions of Multivariate Rational Expectations Models," ULB Institutional Repository 2013/701, ULB -- Universite Libre de Bruxelles.
- Broze, L. & Gourieroux, C. & Szafarz, A., . "Solutions of multivariate rational expectations models," CORE Discussion Papers RP -1161, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Zadrozny, Peter A., 1998. "An eigenvalue method of undetermined coefficients for solving linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1353-1373, August.
- King, Robert G & Watson, Mark W, 1998. "The Solution of Singular Linear Difference Systems under Rational Expectations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1015-26, November.
- Binder,M. & Pesaran,H.M., 1995.
"Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results,"
Cambridge Working Papers in Economics
9415, Faculty of Economics, University of Cambridge.
- Michael Binder & M. Hashem Pesaran, 1994. "GAUSS and Matlab codes for Multivariate Rational Expectations Models and Macroeconometric Modelling: A Review and Some New Results," QM&RBC Codes 74, Quantitative Macroeconomics & Real Business Cycles.
- repec:dgr:kubcen:199597 is not listed on IDEAS
- repec:cup:etheor:v:11:y:1995:i:2:p:229-57 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:fip:fedgfe:2006-26. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kris Vajs)
If references are entirely missing, you can add them using this form.