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

DOI10.1016/S0165-1889(99)00008-1MaRDI QIDQ1978473zbMATH OpenOpenAlexWikidataFDO

Authors M. Hashem Pesaran, Michael W. Binder

Publication date 4 June 2000

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(99)00008-1

zbMATH Keywords

numerical schemesfinite-horizon multivariate linear expectations modelssparse linear equation systems

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3694872 (Why is no real title available?)
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• scientific article; zbMATH DE number 195175 (Why is no real title available?)
• A DIRECT SOLUTION TO THE BLOCK TRIDIAGONAL MATRIX INVERSION PROBLEM
• An eigenvalue method of undetermined coefficients for solving linear rational expectations models
• Iterative Solution Methods
• Krylov methods for solving models with forward-looking variables
• Numerical solutions of the algebraic matrix Riccati equation
• Solution of nonlinear rational expectations models with applications to finite-horizon life-cycle models of consumption
• Solving linear rational expectations models
• Sparse direct methods for model simulation
• The Solution of Linear Difference Models under Rational Expectations

Cited in

(9)

• ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
• Reducing the dimensionality of linear quadratic control problems
• Solving generalized multivariate linear rational expectations models
• Solution of macromodels with Hansen-Sargent robust policies: some extensions
• Recursive solution methods for dynamic linear rational expectations models
• Stochastic control for economic models: past, present and the paths ahead
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• System reduction and solution algorithms for singular linear difference systems under rational expectations
• On the Solution of Linear Difference Equations with Rational Expectations

Describes a project that uses

Uses Software

• Uhlig Toolkit
• UTV
• Regularization tools

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