Using the generalized Schur form to solve a multivariate linear rational expectations model

DOI10.1016/S0165-1889(99)00045-7zbMath0968.91027MaRDI QIDQ1575614

N. Delaunay

Publication date: 21 August 2000

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

zbMATH Keywords

matrix decomposition; linear expectational difference equations

Mathematics Subject Classification ID

91B02: Fundamental topics (basic mathematics, methodology; applicable to economics in general)

91B82: Statistical methods; economic indices and measures

Uses Software

• LAPACK
• Uhlig Toolkit

Cites Work

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• Numerical solutions of the algebraic matrix Riccati equation
• Real business cycles and the animal spirits hypothesis
• Sparse direct methods for model simulation
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• Solving linear rational expectations models
• Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
• The Solution of Linear Difference Models under Rational Expectations
• A Generalized Eigenvalue Approach for Solving Riccati Equations
• LAPACK-style algorithms and software for solving the generalized Sylvester equation and estimating the separation between regular matrix pairs