A reliable and computationally efficient algorithm for imposing the saddle point property in dynamic models

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2010
Volume: 34
Issue: 3
Pages: 472-489

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper describes a set of algorithms for quickly and reliably solving linear rational expectations models. The utility, reliability and speed of these algorithms are a consequence of (1) the algorithm for computing the minimal dimension state space transition matrix for models with arbitrary numbers of lags or leads, (2) the availability of a simple modeling language for characterizing a linear model and (3) the use of the QR Decomposition and Arnoldi type eigenspace calculations. The paper also presents new formulae for computing and manipulating solutions for arbitrary exogenous processes.

Technical Details

RePEc Handle
repec:eee:dyncon:v:34:y:2010:i:3:p:472-489
Journal Field
Macro
Author Count
1
Added to Database
2026-01-24