A Note on the Uniqueness of Solutions to Rational Expectations Models

Christopher Heiberger (), Torben Klarl and Alfred Maussner ()
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Christopher Heiberger: University of Augsburg, Department of Economics

No 319, Discussion Paper Series from Universitaet Augsburg, Institute for Economics

Abstract: Klein (2000) advocates the use of the Schur decomposition of a matrix pencilo solve linear rational expectations (RE) models. Meanwhile his algorithm hasecome a center piece in several computer codes that provide approximate olutions to (non-linear) dynamic stochastic general equilibrium (DSGE) models. Aubtlety not resolved by Klein is whether or not a certain Schur decompostionould fail to solve the model while a second one would provide a solution. Wehow 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: 2012-12
New Economics Papers: this item is included in nep-dge and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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