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A SYSTEMATIC COMPARISON OF ALTERNATIVE LINEAR RATIONAL EXPECTATION MODEL SOLUTION TECHNIQUES

Gary Anderson

No 142, Computing in Economics and Finance 2000 from Society for Computational Economics

Abstract: Since Blanchard & Kahn's seminal article (Blanchard and Kahn, 1980) a number of alternative approaches for solving linear rational expectations models have emerged. This paper describes, compares and contrasts the techniques of Anderson & Moore (Anderson, 1997; Anderson and Moore, 1983; Anderson and Moore, 1985), Binder (Binder and Peseran, 1994), King & Watson (King and Watson, 1998), Klein (Klein, 1999), Sims (Sims, 1996) QZ method, Uhlig (Uhlig, 1999) and Zadrozny (Zadrozny, 1998). The paper identifies several dimensions for comparison including computational efficiency, computational accuracy, theoretical rigor, ease of use and documentation. The paper employs linear algebra to reconcile the theoretical differences in the approaches. The paper uses a numerical example to characterize practical differences in employing the alternative procedures.

Date: 2000-07-05
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf0:142

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More papers in Computing in Economics and Finance 2000 from Society for Computational Economics CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain. Contact information at EDIRC.
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