Solving Linear Rational Expectations Models

Authors:
Christopher A. Sims
Affiliations:
Department of Economics, 104 Fischer Hall, Princeton University, NJ 08544-1021 U.S.A. sims@princeton.edu
Venue:
Computational Economics
Year:
2002

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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.