An Algorithm for Solving Arbitrary Linear Rational Expectations Model
We consider solutions to general linear dynamic systems, possibly singular and non square with general stability conditions. Besides constructing a general algorytm for finding solutions we provide necessary and sufficient conditions for existence of a solution.
|Date of creation:||17 Jan 2005|
|Date of revision:||12 Jun 2005|
|Note:||Type of Document - pdf; pages: 17. pdf|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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.:
- Anderson, Evan W. & McGrattan, Ellen R. & Hansen, Lars Peter & Sargent, Thomas J., 1996.
"Mechanics of forming and estimating dynamic linear economies,"
Handbook of Computational Economics,
in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 4, pages 171-252
- Lars Peter Hansen & Ellen R. McGrattan & Thomas J. Sargent, 1994. "Mechanics of forming and estimating dynamic linear economies," Staff Report 182, Federal Reserve Bank of Minneapolis.
- 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.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpge:0501001. 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: (EconWPA)
If references are entirely missing, you can add them using this form.