Multivariate Linear Rational Expectations Models: Characterisation of the Nature of the Solutions and Their Fully Recursive Computation

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Multivariate Linear Rational Expectations Models: Characterisation of the Nature of the Solutions and Their Fully Recursive Computation

Author Info

Binder, M.
Pesaran, H.

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Abstract

In this paper, we analyze a general multivariate linear rational expectations model.

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Publisher Info
Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 9619.

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Length: 11 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:cam:camdae:9619

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Article
Software
- Michael Binder & M. Hashem Pesaran, 1997. "GAUSS and Matlab codes for Multivariate Linear Rational Expectations Models: Characterization of the Nature of the Solutions and Their Fully Recursive Computation," QM&RBC Codes 73, Quantitative Macroeconomics & Real Business Cycles. [Downloadable!]

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Seonghoon Cho & Antonio Moreno, 2003. "A Structural Estimation and Interpretation of the New Keynesian Macro Model," Faculty Working Papers 14/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
Holden, Tom, 2008. "Rational macroeconomic learning in linear expectational models," MPRA Paper 10872, University Library of Munich, Germany. [Downloadable!]
Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2008. "Identification of New Keynesian Phillips Curves from a Global Perspective," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Other versions:
- Dees, Stephane & Pesaran, Hashem & Smith, L. Vanessa & Smith, Ron P., 2008. "Identification of New Keynesian Phillips Curves from a Global Perspective," IZA Discussion Papers 3298, Institute for the Study of Labor (IZA). [Downloadable!]
- Stéphane Dées & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2008. "Identification of New Keynesian Phillips Curves from a global perspective," Working Paper Series 892, European Central Bank. [Downloadable!]
- Dees, S. & Pesaran, M.H. & Smith, L.V. & Smith, R.P., 2008. "Identification of New Keynesian Phillips Curves from a Global Perspective," Cambridge Working Papers in Economics 0803, Faculty of Economics, University of Cambridge. [Downloadable!]
- Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2009. "Identification of New Keynesian Phillips Curves from a Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1481-1502, October. [Downloadable!] (restricted)
Emine Boz & Christian Daude & Ceyhun Bora Durdu, 2008. "Emerging market business cycles revisited: learning about the trend," International Finance Discussion Papers 927, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
An, Sungbae & Schorfheide, Frank, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia. [Downloadable!]
- Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor and Francis Journals, vol. 26(2-4), pages 113-172. [Downloadable!] (restricted)
Chudik , A. & Pesaran, M.H., 2007. "Infinite Dimensional VARs and Factor Models," Cambridge Working Papers in Economics 0757, Faculty of Economics, University of Cambridge. [Downloadable!]
Other versions:
- Alexander Chudik & M. Hashem Pesaran, 2007. "Infinite Dimensional VARs and Factor Models," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
- Alexander Chudik & M. Hashem Pesaran, 2007. "Infinite Dimensional VARs and Factor Models," IZA Discussion Papers 3206, Institute for the Study of Labor (IZA). [Downloadable!]
- Alexander Chudik & M. Hashem Pesaran, 2009. "Infinite-dimensional VARs and factor models," Working Paper Series 998, European Central Bank. [Downloadable!]

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