An eigenvalue method of undetermined coefficients for solving linear rational expectations models

Article Abstract:

A four-step eigenvalue method for computing the autoregressive, moving-average and exogenous parts of reduced form VARMAX solution of a structural EVARMAX model is presented. The first step involves solving the AR part of the equation, the second and fourth step involves solving for the MAX parts with linear computations and the third step involves solving for an equivalent invertible MA part.

Usage, Eigenvalues

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Numerical analysis of a nonlinear operator equation arising from a monetary model

Article Abstract:

An evaluation of numerical analysis application to a nonlinear operator equation arising from monetary economics reveals that the finite element method is a viable way of obtaining accurate numerical solutions from many dynamic models. The resulting solutions give insights into the structure of equilibrium prices with convergence rates and error estimates justifying the algorithm's validity.

Statistics, Statistics (Data)

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Computing equilibria in a general equilibrium model with incomplete asset markets

Article Abstract:

An intuitive homotopy algorithm for equilibria computation of incomplete asset market general equilibrium model is presented and is found to be very reliable in general and suitable for large scale computations. The technique features utility maximization problems for all but one agent with penalties for transactions on the assets market and penalty restrictions being gradually lifted.

Mathematical statistics

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