Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25241 
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dc.contributor.authorMeyer-Gohde, Alexanderen
dc.date.accessioned2008-02-20-
dc.date.accessioned2009-07-23T15:03:26Z-
dc.date.available2009-07-23T15:03:26Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/25241-
dc.description.abstractA solution method is derived in this paper for solving a system of linear rational-expectations 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 straight-forward 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.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2007,069en
dc.subject.jelC32en
dc.subject.jelC63en
dc.subject.ddc330en
dc.subject.keywordLagged expectationsen
dc.subject.keywordlinear rational expectations modelsen
dc.subject.keywordblock tridiagonalen
dc.subject.keywordGeneralized Schur Formen
dc.subject.keywordQZ decompositionen
dc.subject.keywordLAPACKen
dc.subject.stwRationale Erwartungen
dc.subject.stwLag-Modellen
dc.subject.stwMathematische Optimierungen
dc.subject.stwDekompositionsverfahrenen
dc.subject.stwTheorieen
dc.titleSolving linear rational expectations models with lagged expectations quickly and easily-
dc.type|aWorking Paperen
dc.identifier.ppn558654037en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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