Using the generalized Schur form to solve a multivariate linear rational expectations model
Using the generalized Schur form to solve a multivariate linear rational expectations model
In this paper, I show how to use the generalized Schur form to solve a system of linear expectational difference equations (a multivariate linear rational expectations model). The method is simple to understand and to use, and is applicable to a large class of rational expectations models. The only hard part is taken care of by just two standard algorithms, both of which are available as freeware on the Internet as part of LAPACK. Like other matrix decomposition based methods, it is also very fast to execute.
multivariate linear rational expectations models, generalized schur form, qz decomposition, lapack
1405-1423
Klein, Paul
feea4bea-ca95-41ce-b72c-92b7d05247b1
September 2000
Klein, Paul
feea4bea-ca95-41ce-b72c-92b7d05247b1
Klein, Paul
(2000)
Using the generalized Schur form to solve a multivariate linear rational expectations model.
Journal of Economic Dynamics and Control, 24 (10), .
(doi:10.1016/S0165-1889(99)00045-7).
Abstract
In this paper, I show how to use the generalized Schur form to solve a system of linear expectational difference equations (a multivariate linear rational expectations model). The method is simple to understand and to use, and is applicable to a large class of rational expectations models. The only hard part is taken care of by just two standard algorithms, both of which are available as freeware on the Internet as part of LAPACK. Like other matrix decomposition based methods, it is also very fast to execute.
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Published date: September 2000
Keywords:
multivariate linear rational expectations models, generalized schur form, qz decomposition, lapack
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Local EPrints ID: 188421
URI: http://eprints.soton.ac.uk/id/eprint/188421
ISSN: 0165-1889
PURE UUID: b190831b-86ff-4526-9b45-19aa0e49bda8
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Date deposited: 03 Jun 2011 10:43
Last modified: 14 Mar 2024 03:31
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Author:
Paul Klein
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