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An Algorithm for Solving Arbitrary Linear Rational Expectations Model

Author

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  • Pawel Kowal

    (Department of Economics Warsaw School of Economics)

Abstract

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.

Suggested Citation

  • Pawel Kowal, 2005. "An Algorithm for Solving Arbitrary Linear Rational Expectations Model," GE, Growth, Math methods 0501001, EconWPA, revised 12 Jun 2005.
  • Handle: RePEc:wpa:wuwpge:0501001
    Note: Type of Document - pdf; pages: 17. pdf
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    File URL: http://econwpa.repec.org/eps/ge/papers/0501/0501001.pdf
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    References listed on IDEAS

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    1. 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 Elsevier.
    2. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-1311, July.
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    Cited by:

    1. Frank Hespeler, 2012. "On Boundary Conditions Within the Solution of Macroeconomic Dynamic Models with Rational Expectations," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 265-291, October.
    2. Pawel Kowal, 2005. "Solving Models with Imperfect and Asymmetric Information," Macroeconomics 0505025, EconWPA.
    3. Maciej Bukowski & Pawel Kowal, 2010. "Large scale, multi-sector DSGE model as a climate policy assessment tool - Macroeconomic Mitigation Options (MEMO) model for Poland," IBS Working Papers 3/2010, Instytut Badan Strukturalnych.

    More about this item

    Keywords

    Computational Methods; Schur Decomposition; GUPTRI Decomposition; Sunspots.;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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