Handbook of Applied Econometrics. Volume I: Macroeconomics

This paper aims to solve the real business cycle model of Christiano and Eichenbaum (1992) with two programs, RBCQDE.PRG (GAUSS) and RBCZDE.M (MATLAB), and to run the GAUSS program you will need to download the procedure MATPOW.G.

Abstract

This chapter provides a review of solution and estimation methods available in the literature for the analysis of multivariate linear rational expectations models, and proposes new techniques which are straightforward to implement and allow the incorporation of many forms of nonstationarity and nonlinearity (the latter being restricted to the models' forcing variables) into the analysis of multivariate rational expectations models.