On the uniqueness of solutions to rational expectations models

Christopher Heiberger, Torben Klarl and Alfred Maussner ()

Economics Letters, 2015, vol. 128, issue C, 14-16

Abstract: Klein (2000) advocates the use of the Schur decomposition of a matrix pencil to solve linear rational expectations models. Meanwhile his algorithm has become a center piece in several computer codes that provide approximate solutions to (non-linear) dynamic stochastic general equilibrium models. A subtlety not resolved by Klein is whether or not a certain Schur decomposition could fail to solve the model while a second one would provide a solution. We show that this cannot happen.

Keywords: Linear rational expectations models; Schur decomposition; DSGE models (search for similar items in EconPapers)
JEL-codes: C63 C88 E37 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176514004868
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:128:y:2015:i:c:p:14-16

DOI: 10.1016/j.econlet.2014.12.025

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().