Solving SDGE Models: A New Algorithm for the Sylvester Equation
AbstractThis 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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Bibliographic InfoPaper provided by Czech National Bank, Research Department in its series Working Papers with number 2005/10.
Date of creation: Dec 2005
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Dynamic general equilibrium; doubling algorithm; perturbation approach; recursive algorithm.;
Other versions of this item:
- OndŘej KamenÍk, 2005. "Solving SDGE Models: A New Algorithm for the Sylvester Equation," Computational Economics, Society for Computational Economics, vol. 25(1), pages 167-187, February.
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-06-10 (All new papers)
- NEP-CMP-2006-06-10 (Computational Economics)
- NEP-DGE-2006-06-10 (Dynamic General Equilibrium)
- NEP-ECM-2006-06-10 (Econometrics)
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