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A Systematic Comparison Of Alternative Linear Rational Expectation Model Solution Techniques

  • Gary S. Anderson

    (Board of Governers)

Since Blanchard & Kahn's seminal article (Blanchard and Kahn, 1980) a number of alternative approaches for solving linear rational expectations models have emerged. This paper describes, compares and contrasts the techniques of Anderson & Moore (Anderson, 1997; Anderson and Moore, 1983; Anderson and Moore, 1985), Binder (Binder and Peseran, 1994), King & Watson (King and Watson, 1998), Klein (Klein, 1999), Sims (Sims, 1996) QZ method, Uhlig (Uhlig, 1999) and Zadrozny (Zadrozny, 1998). The paper identifies several dimensions for comparison including computational efficiency, computational accuracy, theoretical rigor, ease of use and documentation. The paper employs linear algebra to reconcile the theoretical differences in the approaches. The paper uses a numerical example to characterize practical differences in employing the alternative procedures.

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number 142.

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Date of creation: 05 Jul 2000
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Handle: RePEc:sce:scecf0:142
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