Hostname: page-component-74656f9884-c52kr Total loading time: 0 Render date: 2026-11-08T15:26:47.214Z Has data issue: false hasContentIssue false
  • English
  • Français

LINEAR-QUADRATIC OPTIMIZATION FOR MODELS WITH RATIONAL EXPECTATIONS

Published online by Cambridge University Press:  01 December 1999

Hans Amman  and
David Kendrick
Hans Amman
Affiliation:
University of Amsterdam
David Kendrick
Affiliation:
University of Texas at Austin
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the 'Save PDF' action button.

We present a method for using rational expectations in alinear-quadratic optimization framework. Following the approach put forward by Sims, we solve the model through a QZ decomposition, which is generally easier to implement than the more widely used Blanchard-Kahn method.

Keywords

Rational ExpectationsStochastic OptimizationNumerical ExperimentsLinear Quadratic Optimization

Information

Type
Research Article
Information
Macroeconomic Dynamics , Volume 3 , Issue 4 , December 1999 , pp. 534 - 543
Copyright
© 1999 Cambridge University Press