Solving rational expectations models at first order: what Dynare does

Sébastien Villemot

No 2, Dynare Working Papers from CEPREMAP

Abstract: This paper describes in detail the algorithm implemented in Dynare for computing the first order approximated solution of a nonlinear rational expectations model. The core of the algorithm is a generalized Schur decomposition (also known as the QZ decomposition), as advocated by several authors in the litterature. The contribution of the present paper is to focus on implementation details that make the algorithm more generic and more efficient, especially for large models.

Keywords: Dynare; Numerical methods; Perturbation; Rational expectations (search for similar items in EconPapers)
JEL-codes: C63 C68 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2011-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:cpm:dynare:002

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