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Solving Linear Rational Expectations Models

✍ Scribed by Christopher A. Sims

Book ID: 110396351
Publisher: Springer US
Year: 2002
Tongue: English
Weight: 143 KB
Volume: 20
Category: Article
ISSN: 1572-9974
DOI: 10.1023/a:1020517101123

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

An eigenvalue method of undetermined coe

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

✍ Peter A. Zadrozny 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 189 KB

## R &IID(0, K ) is an m;1 vector of reduced-form disturbances. The paper derives an analytical eigenvalue method for computing the autoregressive, moving-average, and exogenous parts of the reduced-form solution of a model in the above form. The method routinely handles expectations conditional o

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and, especially, two anonymous referees for useful comments and suggestions.

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