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Solving SDGE Models: A New Algorithm for the Sylvester Equation

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Ondrej Kamenik

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Abstract

This paper presents a new numerical algorithm for solving the Sylvester equation involved in higher-order perturbation methods developed for solving stochastic dynamic general equilibrium models. The new algorithm surpasses other methods used so far (including the very popular doubling algorithm) in terms of computational time, memory consumption, and numerical stability.

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File URL: http://www.cnb.cz/en/research/research_publications/cnb_wp/download/cnbwp_2005_10.pdf
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Paper provided by Czech National Bank, Research Department in its series Working Papers with number 2005/10.

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Date of creation: Dec 2005
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Handle: RePEc:cnb:wpaper:2005/10

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Related research
Keywords: Dynamic general equilibrium doubling algorithm perturbation approach recursive algorithm.

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Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C68 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computable General Equilibrium Models

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  1. Anderson, Evan W. & McGrattan, Ellen R. & Hansen, Lars Peter & Sargent, Thomas J., 1996. "Mechanics of forming and estimating dynamic linear economies," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 4, pages 171-252 Elsevier. [Downloadable!] (restricted)
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This page was last updated on 2008-9-21.

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