Solving linear rational expectations models
Subtitle: a horse race
By: Gary S. Anderson
Series: Finance and economics discussion series -- 2006-26; Finance and economics discussion series (Online) -- 2006-26.
Publisher: Federal Reserve Board
Published: 2006
Place of publication: Washington, D.C
Language: eng
Format: [electronic resource] :
Description: "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 prcedures 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"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 12/7/2006.

Includes bibliographical references.

Also available in print.

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Mode of access: World Wide Web.