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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
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Abstract

We present a method for using rational expectations in a linear-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
Type
Research Article
Information
Macroeconomic Dynamics , Volume 3 , Issue 4 , December 1999 , pp. 534 - 543
Copyright
© 1999 Cambridge University Press

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