System Reduction and Solution Algorithms for Singular Linear Difference Systems under Rational Expectations

被引：49

作者：

King R.G. ^{[1
]}

Watson M.W. ^{[2
]}

机构：

[1] Department of Economics, Boston University, MA, 02215 Boston

来源：

Computational Economics | 2002年 / 20卷 / 1-2期

基金：

美国国家科学基金会;

关键词：

algorithm; in practice; models; solutions; system reduction;

D O I：

10.1023/A:1020576911923

中图分类号：

学科分类号：

摘要：

A first-order linear difference system under rational expectations is, AEyt+1{pipe}It=Byt+C(F)Ext{p ipe}It, where yt is a vector of endogenous variables;xt is a vector ofexogenous variables; Eyt+1{pipe}It is the expectation ofyt+1 givendate t information; and C(F)Ext{pipe}It =C0xt+C1Ext+1{pipe}It+...+CnExt+n{pipe}It. If the model issolvable, then ytcan be decomposed into two sets of variables:dynamicvariables dt that evolve according to Edt+1{pipe}It = Wdt + Ψd(F)Ext{pipe}It and other variables thatobey the dynamicidentities ft =-Kdt-Ψf(F)Ext{pipe}It. We developan algorithm for carrying out this decomposition and for constructing theimplied dynamic system. We also provide algorithms for (i) computing perfectforesight solutions and Markov decision rules; and (ii) solutions to relatedmodels that involve informational subperiods. © 2002 Kluwer Academic Publishers.

引用

页码：57 / 86

页数：29

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