Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92957
Authors: 
Heiberger, Christopher
Klarl, Torben
Maußner, Alfred
Year of Publication: 
2012
Series/Report no.: 
Volkswirtschaftliche Diskussionsreihe, Institut für Volkswirtschaftslehre der Universität Augsburg 319
Abstract: 
Klein (2000) advocates the use of the Schur decomposition of a matrix pencil to solve linear rational expectations (RE) models. Meanwhile his algorithm has become a center piece in several computer codes that provide approximate solutions to (non-linear) dynamic stochastic general equilibrium (DSGE) models. A subtlety not resolved by Klein is whether or not a certain Schur decompostion could fail to solve the model while a second one would provide a solution. We show that this cannot happen.
Subjects: 
Linear Rational Expectations Models
Schur Decomposition
DSGE Models
JEL: 
C63
C88
E37
Document Type: 
Working Paper

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