Matlab Toolbox for Solving Regular Linear Rational Expectations Models : The Algorithm

We present a computationally effective method of solving regular linear dynamic systems based on Schur decomposition. One of the advantage of presented method is possibility of problem dimension reduction. This allows for efficient solution of models with very large set of endogenous variables and moderate set of state variables. Presented method allows for considering models with sunspots. We also derive first differential of matrices describing model dynamics with respect to model parameters. The toolbox lrem_solve implements methods described in this paper

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Year of publication:	2006
Authors:	Kowal, Pawel
Publisher:	[S.l.] : SSRN
Subject:	Rationale Erwartung \| Rational expectations \| Theorie \| Theory \| Algorithmus \| Algorithm \| Mathematische Optimierung \| Mathematical programming

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