Solution of Multivariate Linear Rational Expectations Models and Large Sparse Linear Systems

Mohammad Pesaran and Michael Binder ()

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: This paper establishes a link between the problem of solving multivariate linear rational expectations models and the problem of solving large sparse linear systems with a block-tridiagonal matrix coefficient structure. Such large linear systems arise in a wide variety of scientific problems, including the numerical solution of certain classes of partial differential equations, linear-quadratic optimal control problems, and Gaussian optimal filtering problems. Two numerical schemes that allow efficient solution of large sparse linear systems with a block-tridiagonal matrix coefficient structure are presented, and it is shown how these procedures can be readily adapted to solve multivariate linear rational expectations models. Furthermore, the solution of multivariate linear rational expectations models by means of solving large sparse linear systems is linked to the fully recursive method for the solution of multivariate linear rational expectations models recently advanced in Binder and Pesaran (1996). Finally, the numerical schemes are illustrated by applying them to obtain the solution of a simple stochastic growth model.

Date: 1997-04
References: Add references at CitEc
Citations: View citations in EconPapers (9)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Software Item: GAUSS and Matlab codes for Solution of Finite-Horizon Multivariate Linear Rational Expectations Models and Sparse Linear Systems (1997)
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:cam:camdae:9708

Access Statistics for this paper

More papers in Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
Bibliographic data for series maintained by Jake Dyer ().