Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25241
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dc.contributor.authorMeyer-Gohde, Alexanderen_US
dc.date.accessioned2008-02-20en_US
dc.date.accessioned2009-07-23T15:03:26Z-
dc.date.available2009-07-23T15:03:26Z-
dc.date.issued2007en_US
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_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk|cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper|x2007,069en_US
dc.subject.jelC32en_US
dc.subject.jelC63en_US
dc.subject.ddc330en_US
dc.subject.keywordLagged expectationsen_US
dc.subject.keywordlinear rational expectations modelsen_US
dc.subject.keywordblock tridiagonalen_US
dc.subject.keywordGeneralized Schur Formen_US
dc.subject.keywordQZ decompositionen_US
dc.subject.keywordLAPACKen_US
dc.subject.stwRationale Erwartungen_US
dc.subject.stwLag-Modellen_US
dc.subject.stwMathematische Optimierungen_US
dc.subject.stwDekompositionsverfahrenen_US
dc.subject.stwTheorieen_US
dc.titleSolving linear rational expectations models with lagged expectations quickly and easilyen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn558654037en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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