Solving linear rational expectations models: a horse race
Abstract: This paper compares the functionality, accuracy, computational efficiency, and practicalities of alternative approaches to solving linear rational expectations models, including the procedures of (Sims, 1996), (Anderson and Moore, 1983), (Binder and Pesaran, 1994), (King and Watson, 1998), (Klein, 1999), and (Uhlig, 1999). While all six procedures yield similar results for models with a unique stationary solution, the AIM algorithm of (Anderson and Moore, 1983) provides the highest accuracy; furthermore, this procedure exhibits significant gains in computational efficiency for larger-scale models.
File(s): File format is text/html http://www.federalreserve.gov/pubs/feds/2006/200626/200626abs.html
File(s): File format is application/pdf http://www.federalreserve.gov/pubs/feds/2006/200626/200626pap.pdf
Part of Series: Finance and Economics Discussion Series
Publication Date: 2006