Extensions of linearization to large econometric models with rational expectations

DOI10.1016/0898-1221(89)90113-2MaRDI QIDQ1823833zbMATH OpenOpenAlexFDO

Authors Nicos Christodoulakis

Publication date 1989

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(89)90113-2

zbMATH Keywords

large-scale macroeconomic modelslinear approximationspolicy designrational expectationsunstable nonlinear models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62)

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Cites work

• Fast projection methods for minimal design problems in linear system theory
• Irreducible Realizations and the Degree of a Rational Matrix
• Multiple Shooting in Rational Expectations Models
• Principal component analysis in linear systems: Controllability, observability, and model reduction
• The Solution of Linear Difference Models under Rational Expectations

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(7)

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• Log-linearization of stochastic economic models†
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• Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations
• The linearisation and optimal control of large nonlinear rational expectations models by persistent excitation

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