An eigenvalue method of undetermined coefficients for solving linear rational expectations models

DOI10.1016/S0165-1889(98)00016-5zbMath0912.90055MaRDI QIDQ1274215

Peter A. Zadrozny

Publication date: 12 January 1999

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

zbMATH Keywords

linear rational expectations modelanalytical eigenvalue problem

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic growth models (91B62)

Related Items (9)

A system reduction method to efficiently solve DSGE models ⋮ Continuous time ARMA processes: discrete time representation and likelihood evaluation ⋮ Solving generalized multivariate linear rational expectations models ⋮ Solving linear rational expectations models: A horse race ⋮ Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems ⋮ Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models ⋮ Reducing the dimensionality of linear quadratic control problems ⋮ Linear rational-expectations models with lagged expectations: a synthetic method ⋮ Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data

Cites Work

• A linear algebraic procedure for solving linear perfect foresight models
• A computer-aided method for solvents and spectral factors of matrix polynomials
• Saddlepath solutions for multivariate linear rational expectations models
• The Solution of Linear Difference Models under Rational Expectations
• Generalization of Leverrier's algorithm to polynomial matrices of arbitrary degree
• The Algebraic Theory of Matrix Polynomials
• Algorithms for Solvents of Matrix Polynomials
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