A Fast Algorithm for Solving Rational Expectations Models

Peter Wilcoxen

No 295063, Impact Project Archive from Impact Research Centre, University of Melbourne

Abstract: At the heart of most rational expectations models is a system of first order differential equations describing the behaviour of the model's endogenous variables. The methods commonly used to solve these models, such as multiple shooting and Fair's algorithm, can be very slow to converge. This paper describes a generalization of Fair's technique that is significantly faster while providing equally accurate results.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 15
Date: 1990-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ircipa:295063

DOI: 10.22004/ag.econ.295063

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