Efficient solution techniques for linear and nonlinear rational expectations models

DOI10.1016/0165-1889(88)90002-4zbMath0668.62076OpenAlexW4252057224MaRDI QIDQ1118314

P. G. Fisher, Andrew J. Hughes Hallett

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90002-4

zbMATH Keywords

optimal controlnonlinear modeliterative algorithmsconvergence conditionslinear rational expectations modelsnon-stationary iterationsnonlinear large-scale rational expectations modelsstationary iterations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Probabilistic methods, stochastic differential equations (65C99)

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Hybrid algorithms with automatic switching for solving nonlinear equation systems ⋮ Iterative techniques for solving simultaneous equation systems: A view from the economics literature ⋮ A robust method for simulating forward-looking models ⋮ Tax vs. debt management under entitlement spending: a multicountry study ⋮ Simple reordering techniques for expanding the convergence radius of first-order iterative techniques

Cites Work

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• Techniques which accelerate the convergence of first order iterations automatically
• Nonstationary model solution techniques and the USA algorithm
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• Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
• Saddlepoint Problems in Continuous Time Rational Expectations Models: A General Method and Some Macroeconomic Examples
• The Convergence of Accelerated Overrelaxation Iterations
• The Solution of Linear Difference Models under Rational Expectations
• Reduced Forms of Rational Expectations Models
• Multiple Shooting in Rational Expectations Models

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