Programs for Linear Quadratic Economies

This page contains the MATLAB programs for solving Riccati and Sylvester equations which were described in Anderson, Hansen, McGrattan and Sargent, "Mechanics of Forming and Estimating Dynamic Linear Economies", Handbook of Computational Economics. Here are some tips for downloading and using these programs.

See this page for a newer version of the generalized Schur algorithm.

To download all of the m-files, Fortran files, and MEX files for Matlab 5.x click here.

Driver Routines for solving Riccati equations

Each of the following routines provides an easy to use interface to programs which solve Riccati equations. These programs require the auxiliary routines listed below.

Driver Routines for solving Sylvester equations

Each of the following routines provides an easy to use interface to programs which solve Sylvester equations. These programs require the auxiliary routines listed below.

Auxiliary Routines

The auxiliary routines are implemented as MATLAB MEX-files. Binary versions are provided for some operating systems. Following MATLAB conventions, .m files contain documentation for the binary MEX-files. In addition, some of the .m files contain MATLAB code that can be used in place of the MEX files.

doubler.m
msign.m
schurg.m
schurp.m
riccati.m
doubles.m
sylvest.m
Binary routines for Matlab 6.x
- See this page for new drivers and generalized Schur binaries for many different architectures.
Binary routines for Matlab 5.x
- Intel (Linux)
- Intel (Windows) Only the generalized Schur binary (schurg) is available for windows.
- Sun Sparc (Solaris 2)
- Sun Sparc (SunOs 4.1.4)
Binary routines for Matlab 4.x
- HP 9000/700
- Sun Sparc (SunOs 4.1.4)
Fortran source files

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