Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems

DOI10.1016/S0165-1889(99)00008-1zbMath0945.91048OpenAlexW2095831752WikidataQ127724723 ScholiaQ127724723MaRDI QIDQ1978473

M. Hashem Pesaran, Michael W. Binder

Publication date: 4 June 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00008-1

zbMATH Keywords

numerical schemesfinite-horizon multivariate linear expectations modelssparse linear equation systems

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Stochastic control for economic models: past, present and the paths ahead ⋮ Reducing the dimensionality of linear quadratic control problems ⋮ ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION ⋮ Using the generalized Schur form to solve a multivariate linear rational expectations model

Uses Software

• UTV
• Uhlig Toolkit
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Cites Work

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• Numerical solutions of the algebraic matrix Riccati equation
• Krylov methods for solving models with forward-looking variables
• An eigenvalue method of undetermined coefficients for solving linear rational expectations models
• Sparse direct methods for model simulation
• Solution of nonlinear rational expectations models with applications to finite-horizon life-cycle models of consumption
• Solving linear rational expectations models
• The Solution of Linear Difference Models under Rational Expectations
• Iterative Solution Methods
• A DIRECT SOLUTION TO THE BLOCK TRIDIAGONAL MATRIX INVERSION PROBLEM

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