[SciPy-Dev] [Feature Request] Generalized Schur decomposition

Bruno André Rodrigues Coelho r.c.bruno.andre@gmail....
Mon Mar 12 10:15:30 CDT 2012


thanks for your reply. I also need this to estimate a DSGE model (I'm
actually translating
Sims' gensys function into python).

Your implementation of qz looks interesting. Are you familiar with
Sims' code to estimate a linear expectations
model? Is ordqz equivalent to Sims' qzswitch? If not, what does it do?


On Mon, Mar 12, 2012 at 4:07 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
> On Mon, Mar 12, 2012 at 10:56 AM, Bruno André Rodrigues Coelho
> <r.c.bruno.andre@gmail.com> wrote:
>> Hi,
>> I'm translating some matlab code into Python/Scipy and noticed that
>> Scipy lacks a generalized QZ decomposition that works like in Matlab.
>> I found an equivalent by Sven Schreiber here:
>> http://econ.schreiberlin.de/schreibersoftware.html which works exactly
>> like Matlab's qz function.
>> Could this be added to scipy.linalg?
> Hi,
> I needed this as well for some macroeconometric estimators, and at the
> time I had problems with the ctypes implementation listed IIRC. I
> wrapped the lapack routines using f2py and you can find the standalone
> code here.
> http://eagle1.american.edu/~js2796a/qzordqz.tar.gz
> I will try to make a pull request against scipy this week. See the
> notes in the INSTALL file for a difference vs. MATLAB.
> Skipper
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Rodrigues Bruno

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