Christopher Heiberger, Torben Klarl, Alfred Maussner
A Note on the Uniqueness of Solutions to Rational
Expectations Models
Abstract:
Klein (2000) advocates the use of the Schur decomposition of a matrix
pencil to solve linear rational expectations (RE) models. Meanwhile his
algorithm has become a center piece in several computer codes that
provide approximate solutions to (non-linear) dynamic
stochastic
general equilibrium (DSGE) models. A subtlety not resolved by Klein is
whether or not a certain Schur decompostion could fail to solve the
model while a second one would provide a solution. We show that this
cannot happen.
JEL: C63, C88, E37
Paper:
Paper available as pdf-file.
Beitrag Nr. 319, Volkswirtschaftliche Diskussionsreihe, Institut
für
Volkswirtschaftslehre der Universität Augsburg
Contact:
Christopher
Heiberger, University of Augsburg, Department of Economics,
D-86135
Augsburg,
Germany, phone +49-821-598-4178, fax +49-821-598-4231
email: christopher.heiberger@wiwi.uni-augsburg.de
Torben
Klarl, University of Augsburg, Department of Economics,
D-86135
Augsburg,
Germany, phone +49-821-598-4189, fax +49-821-598-4231
email: torben.alexander.klarl@wiwi.uni-augsburg.de
Alfred
Maussner, University of Augsburg, Department of Economics,
D-86135
Augsburg,
Germany, phone +49-821-598-4187, fax +49-821-598-4231
email: alfred.maussner@wiwi.uni-augsburg.de
Bo., 04.12.2012