Solving Linear Rational Expectations Models

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Abstract

We describe methods for solving general linear rational expectations models in continuous or discrete timing with or without exogenous variables. The methods are based on matrix eigenvalue decompositions.

Original languageEnglish (US)
Pages (from-to)1-20
Number of pages20
JournalComputational Economics
Volume20
Issue number1-2
DOIs
StatePublished - Oct 1 2002

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance (miscellaneous)
  • Computer Science Applications

Keywords

  • QZ decomposition
  • generalized Schur decomposition
  • rational expectations

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