Hi, 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? Cheers 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.
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