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Matlab Code for Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models

Author

Listed:
  • Christopher Sims

    (Princeton University)

Abstract

From the first and second derivatives of a set of equations that may include expectational Euler equations, this algorithm produces a second-order accurate expansion of the mapping from "states" to "controls" and of the dynamics of the states. The states do not need to be specified explicitly, but the software allows the user to specify any state vector that seems natural, reverting to its default method if the user's choice does not work. The gstate.m program in the gensys2 folder analyzes the G1 and impact matrices that come from gensys (or the corresponding F1, F2 matrices from gensys2) to facilitate translation into a possibly more familiar "state-control" form. The order2setup.m program uses the Matlab symbolic package to calculate first and second derivatives analytically from model equations specified as matlab-notation equations.

Suggested Citation

  • Christopher Sims, 2000. "Matlab Code for Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models," QM&RBC Codes 12, Quantitative Macroeconomics & Real Business Cycles, revised 26 Jun 2003.
  • Handle: RePEc:dge:qmrbcd:12
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    File URL: http://dge.repec.org/codes/sims/gensys2
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