A note on the uniqueness of solutions to rational expectations models

Klein (2000) advocates the use of the Schur decomposition of a matrix pencil to solve linear rational expectations (RE) models. Meanwhile his algorithm has become a center piece in several computer codes that provide approximate solutions to (non-linear) dynamic stochastic general equilibrium (DSGE) models. A subtlety not resolved by Klein is whether or not a certain Schur decompostion could fail to solve the model while a second one would provide a solution. We show that this cannot happen.

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Year of publication:	2012
Authors:	Heiberger, Christopher ; Klarl, Torben ; Maußner, Alfred
Publisher:	Augsburg : Universität Augsburg, Institut für Volkswirtschaftslehre
Subject:	Linear Rational Expectations Models \| Schur Decomposition \| DSGE Models

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Series:	Volkswirtschaftliche Diskussionsreihe ; 319
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	778121356 [GVK] hdl:10419/92957 [Handle] RePEc:aug:augsbe:0319 [RePEc]
Classification:	C63 - Computational Techniques ; C88 - Other Computer Software ; E37 - Forecasting and Simulation
Source:	EconStor

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