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Solution to Linear Rational Expectations Models

version (465 KB) by Pawel Kowal
Solves linear rational expectation models, delivers derivatives of solutions


Updated 16 May 2006

No License

LREM_SOLVE Toolbox delivers a computationally effective method of solving regular linear dynamic systems based on Schur decomposition. The toolbox finds the solution or informs that there are no solutions. One of the advantage of presented method is possibility of problem dimension reduction. This allows for efficient solution of models with very large set of endogenous variables and moderate set of state variables. Presented method allows for considering models with sunspots. We also derive first differential of matrices describing model dynamics with respect to model parameters.

Cite As

Pawel Kowal (2022). Solution to Linear Rational Expectations Models (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14SP1
Compatible with any release
Platform Compatibility
Windows macOS Linux

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