Michael Binder and M. Hashem Pesaran
GAUSS- and MATLAB-Programs for:
Solution of Finite-Horizon Multivariate Linear
Rational Expectations Models and Sparse Linear Systems
Please Read the Following Before Downloading Any Program:
Currently, you may download four GAUSS programs and four MATLAB programs from
this page.
The programs CESLDU.PRG (GAUSS) and CESLDU.M (MATLAB) solve the
expenditure share problem described in Section 6 of the paper using the
numerical scheme of Proposition 5.1 in the paper, and are based on the canonical
form (6.10) in the paper. The programs CESLDUR.PRG (GAUSS) and
CESLDUR.M (MATLAB) also solve the expenditure share problem described in
Section 6 of the paper using the numerical scheme of Proposition 5.1 in the
paper, but are based on the canonical form (6.14) in the paper.
The remaining programs illustrate how one may use the numerical schemes
discussed in the paper for the solution of infinite-horizon multivariate linear
rational expectations models. The programs SGLDU.PRG (GAUSS) and
SGLDU.M (MATLAB) solve a simple infinite-horizon stochastic growth model
using the numerical scheme of Proposition 5.1 in the paper. The programs
SGBOWDEN.PRG (GAUSS) and SGBOWDEN.M (MATLAB) solve the same
stochastic growth model using the numerical scheme of Proposition 5.2 in the
paper. To run either one of the GAUSS programs for the stochastic growth model,
you will also need to donwload the procedure MATPOW.G. The stochastic
growth model solved in these programs and some further issues that arise when
using the numerical schemes of this paper for the solution of infinite-horizon
multivariate linear rational expectations models are discussed in the following
note:
The programs available on this page have been used and seem to be free of
errors. Please feel free to copy, modify, and use these programs. However, we
(Michael Binder and M. Hashem Pesaran) do not assume responsibility for any
remaining errors. In no event shall we be liable for any damages whatsoever
arising out of the use of or inability to use these programs.
If you do download any of the programs for your own research or teaching, please
let us know briefly about the type of model you are trying to solve by sending
e-mail to
mbinder@wiwi.uni-frankfurt.de. This
is simply to let us know where and for which purposes the programs have been
used. Thank you.
The programs are documented fairly extensively. If you are not sure about some
step in one of the programs, please re-read the paper and/or the note carefully.
However, if you do find any error, please send us e-mail at the above address
also.
Finally, please note that these programs have been written so as to be easily
understood and modifiable by users. This means, in particular, that the programs
are not optimized for speed of execution. The programs in their current form are
therefore not intended for any comparison of the solution method suggested in
our paper with other solution methods suggested in the literature.
Download the GAUSS Programs:
Download the MATLAB Programs:
| Last updated on June 11, 2003 |
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The contents of this page are © Chair for International Macroeconomics & Macroeconometrics, J.W. Goethe University Frankfurt am Main, 2003 |