Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
DOI10.1016/S0165-1889(99)00008-1zbMATH Open0945.91048OpenAlexW2095831752WikidataQ127724723 ScholiaQ127724723MaRDI QIDQ1978473FDOQ1978473
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
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numerical schemesfinite-horizon multivariate linear expectations modelssparse linear equation systems
Cites Work
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- Iterative Solution Methods
- The Solution of Linear Difference Models under Rational Expectations
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- Krylov methods for solving models with forward-looking variables
- An eigenvalue method of undetermined coefficients for solving linear rational expectations models
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- Sparse direct methods for model simulation
- A DIRECT SOLUTION TO THE BLOCK TRIDIAGONAL MATRIX INVERSION PROBLEM
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- Numerical solutions of the algebraic matrix Riccati equation
- Solution of nonlinear rational expectations models with applications to finite-horizon life-cycle models of consumption
Cited In (8)
- Reducing the dimensionality of linear quadratic control problems
- 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
- ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
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