A procedure for differentiating perfect-forsight-model reduced-form coefficients

DOI10.1016/S0165-1889(87)80001-5MaRDI QIDQ1823602zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 1987

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1889(87)80001-5

zbMATH Keywords

algorithmAnderson-Moore proceduredifferentiating singular vectorsfirst and second derivatives of the reduced forminvariant spacesolutions for linear perfect-foresight modelsstructural-form

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Review text

The author and \textit{G. Moore} [Econ. Lett. 17, 247-252 (1985)] presented an algorithm for computing solutions for linear perfect-foresight models. That algorithm computes the reduced form from a structual model. The present article augments the Anderson-Moore procedure to compute the first and second derivatives of the reduced form with respect to the structural-form parameters.

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Cites work

• A linear algebraic procedure for solving linear perfect foresight models
• Error and Perturbation Bounds for Subspaces Associated with Certain Eigenvalue Problems
• scientific article; zbMATH DE number 3323071 (Why is no real title available?)

Cited in

(1)

• Comparative dynamics in perfect-foresight models

Describes a project that uses

Uses Software

• HQR3 EXCHNG
• HQR3

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