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Matlab code for ordered real generalized Schur decomposition

Author

Listed:
  • Evan Anderson

Programming Language

Matlab

Abstract

This program computes the ordered generalized real Schur decomposition of the matrix pencil lambda L - N such that LBAR is upper triangular, NBAR is upper block triangular, V is the matrix of right Shur vectors such that for some orthogonal matrix W W L V = LBAR, W N V = NBAR, and the generalized eigenvalues of the pencil are given by (alpha ./ beta). If order =1 then the unstable eigenvalues appear first in the pencil lambda LBAR - NBAR. If order =0 then the stable eigenvalues appear first. (The order of the eigenvalues in (alpha ./ beta) is not related to the order of the eigenvalues in the pencil.)

Suggested Citation

  • Evan Anderson, 1995. "Matlab code for ordered real generalized Schur decomposition," QM&RBC Codes 27, Quantitative Macroeconomics & Real Business Cycles.
    • Handle: RePEc:dge:qmrbcd:27
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    Keywords

    Matlab;

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