Search Results - subject:"Generalized Schur Form"

Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily

Meyer-Gohde, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

classification: C32, C63 Keywords: Lagged expectations; linear rational expectations models; block tridiagonal; Generalized Schur … Form; QZ decomposition; LAPACK I am indebted to Frank Heinemann and Harald Uhlig for useful comments, suggestions, and …

Persistent link: https://www.econbiz.de/10005652767

Solving linear rational expectations models with lagged expectations quickly and easily

Meyer-Gohde, Alexander - 2007

A solution method is derived in this paper for solving a system of linear rational-expectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of...

Persistent link: https://www.econbiz.de/10010263712