Gensys

Solving linear rational expectations models. We describe methods for solving general linear rational expectations models in continuous or discrete timing with or without exogenous variables. The methods are based on matrix eigenvalue decompositions.

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References in zbMATH (referenced in 88 articles , 1 standard article )

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  1. Angelini, Giovanni; Sorge, Marco M.: Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks (2021)
  2. Bezandry, Paul H.: Asymptotic behavior of difference equations under rational expectations (2021)
  3. Cho, Seonghoon: Determinacy and classification of Markov-switching rational expectations models (2021)
  4. Gelfer, Sacha: Evaluating the forecasting power of an open-economy DSGE model when estimated in a data-rich environment (2021)
  5. Lee, Jae Won; Park, Woong Yong: System reduction of dynamic stochastic general equilibrium models solved by \textttgensys (2021)
  6. Leonov, E. A.; Polbin, A. V.: Numerical search for the global solution in the two-regime model with exhaustible resources (2021)
  7. Rondina, Giacomo; Walker, Todd B.: Confounding dynamics (2021)
  8. Dave, Chetan; Sorge, Marco M.: Sunspot-driven fat tails: a note (2020)
  9. Evans, George W.; McGough, Bruce: Stable near-rational sunspot equilibria (2020)
  10. Komunjer, Ivana; Zhu, Yinchu: Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models (2020)
  11. McClung, Nigel: E-stability vis-à-vis determinacy in regime-switching models (2020)
  12. Sorge, Marco M.: Arbitrary initial conditions and the dimension of indeterminacy in linear rational expectations models (2020)
  13. Tamura, Takashi: Does a unique solution exist for a nonlinear rational expectation equation with zero lower bound? (2020)
  14. Barthélemy, Jean; Marx, Magali: Monetary policy switching and indeterminacy (2019)
  15. Hollmayr, Josef; Kühl, Michael: Learning about banks’ net worth and the slow recovery after the financial crisis (2019)
  16. Hu, Chunhua; Lai, Shaoyong; Dou, Zheng: On the study of a rational expectation model with lagged endogenous variables (2019)
  17. Meenagh, David; Minford, Patrick; Wickens, Michael; Xu, Yongdeng: Testing DSGE models by indirect inference: a survey of recent findings (2019)
  18. Neusser, Klaus: Time-varying rational expectations models (2019)
  19. Petrova, Katerina: Quasi-Bayesian estimation of time-varying volatility in DSGE models (2019)
  20. Al-Sadoon, Majid M.: The linear systems approach to linear rational expectations models (2018)

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