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2007-12-17Buch DOI: 10.18452/4090
Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily
dc.contributor.authorMeyer-Gohde, Alexander
dc.date.accessioned2017-06-15T23:35:04Z
dc.date.available2017-06-15T23:35:04Z
dc.date.created2008-01-09
dc.date.issued2007-12-17
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4742
dc.description.abstractA solution method is derived in this paper for solving a system of linear rationalexpectations 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 a Generalized Schur Decomposition familiar elsewhere in the literature and a simple system of linear equations when lagged expectations are present to the infinite MA representation. Execution is faster, applicability more general, and use more straightforward than with existing algorithms. Current methods of truncating lagged expectations are shown to not generally be innocuous and the use of such methods are rendered obsolete by the tremendous gains in computational efficiency of the method here which allows for a solution to floating-point accuracy in a fraction of the time required by standard methods. The associated computational application of the method provides impulse responses to anticipated and unanticipated innovations, simulations, and frequency-domain and simulated moments.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectLagged expectationseng
dc.subjectlinear rational expectations modelseng
dc.subjectblock tridiagonaleng
dc.subjectGeneralized Schur Formeng
dc.subjectQZ decompositioneng
dc.subjectLAPACKeng
dc.subject.ddc330 Wirtschaft
dc.titleSolving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10083003
dc.identifier.doihttp://dx.doi.org/10.18452/4090
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages33
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue69
local.edoc.container-year2007
local.edoc.container-erstkatid2195055-6

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