Solving Linear Rational Expectations Models

Christopher A. Sims

Research output: Contribution to journalArticlepeer-review

401 Scopus citations

Abstract

We describe methods for solving general linear rational expectations models in continuous or discrete timing with or without exogenous variables. The methods are based on matrix eigenvalue decompositions.

Original languageAmerican English
Pages (from-to)1-20
Number of pages20
JournalComputational Economics
Volume20
Issue number1-2
DOIs
StatePublished - Oct 2002

ASJC Scopus subject areas

  • Economics, Econometrics and Finance (miscellaneous)
  • Computer Science Applications

Keywords

  • QZ decomposition
  • generalized Schur decomposition
  • rational expectations

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