System reduction and solution algorithms for singular linear difference systems under rational expectations

DOI10.1023/A:1020576911923zbMath1019.93006MaRDI QIDQ1863713

Robert G. King, Mark W. Watson

Publication date: 12 March 2003

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1020576911923

zbMATH Keywords

rational expectations; economic models; system reduction; singular linear difference systems

Mathematics Subject Classification ID

91B06: Decision theory

93C55: Discrete-time control/observation systems

91B64: Macroeconomic theory (monetary models, models of taxation)

91B62: Economic growth models

93B11: System structure simplification

93E03: Stochastic systems in control theory (general)

Related Items

Global identification of linearized DSGE models, On the study of a rational expectation model with lagged endogenous variables, A system reduction method to efficiently solve DSGE models, Second-order approximation of dynamic models without the use of tensors, Computing second-order-accurate solutions for rational expectation models using linear solution methods, A ``nearly ideal solution to linear time-varying rational expectations models, Solvability of perturbation solutions in DSGE models, Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks, Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models, A SOLUTION METHOD FOR LINEAR RATIONAL EXPECTATION MODELS UNDER IMPERFECT INFORMATION, OPTIMAL POLICY IN RATIONAL EXPECTATIONS MODELS: NEW SOLUTION ALGORITHMS, PROCYCLICAL SOLOW RESIDUALS WITHOUT TECHNOLOGY SHOCKS, COMPUTATION OF BUSINESS CYCLE MODELS: A COMPARISON OF NUMERICAL METHODS