Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
type: Item
instance of: scholarly article
title: Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems
zbMATH Open document ID: 0945.91048
DOI: 10.1016/S0165-1889(99)00008-1
author: M. Hashem Pesaran
author: Michael W. Binder
publication date: 2000-06-04T00:00:00Z
review text: This paper presents efficient methods for the solution of finite-horizon Multivariate Linear Rational Expectations (MLRE) models, linking the solution of such models to the problem of solving sparse linear equation systems with a block-tridiagonal coefficient matrix structure. Two numerical schemes for the solution of this type of equation systems are discussed, and it is shown how these procedures can be adapted to efficiently solve finite-horizon MLRE models. As the two numerical schemes are fully recursive and only involve elementary matrix operations, they are also straightforward to implement. The numerical schemes are illustrated by applying them to a finite-horizon adjustment cost problem of expenditure shares under adding-up constraints, and to a finite-horizon linear-quadratic optimal control problem.
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 1454257
zbMATH Keywords: finite-horizon multivariate linear expectations models
zbMATH Keywords: sparse linear equation systems
zbMATH Keywords: numerical schemes
describes a project that uses: UTV
describes a project that uses: Uhlig Toolkit
describes a project that uses: Regularization tools
MaRDI profile type: Publication
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full work available at URL: s0165-1889(99)00008-1
OpenAlex ID: W2095831752
Wikidata QID: Q127724723
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 1454257