Solving Second and Third-Order Approximations to DSGE Models: A Recursive Sylvester Equation Solution
dc.contributor.author | Binning, Andrew | |
dc.date.accessioned | 2018-05-02T10:51:26Z | |
dc.date.available | 2018-05-02T10:51:26Z | |
dc.date.issued | 2013 | |
dc.identifier.isbn | 978-82-7553-771-1 | |
dc.identifier.issn | 1502-8143 | |
dc.identifier.uri | http://hdl.handle.net/11250/2496688 | |
dc.description.abstract | In this paper I derive the matrix chain rules for solving a second and a third-order approximation to a DSGE model that allow the use of a recursive Sylvester equation solution method. In particular I use the solution algorithms of Kamenik (2005) and Martin & Van Loan (2006) to solve the generalised Sylvester equations. Because I use matrix algebra instead of tensor notation to find the system of equations, I am able to provide standalone Matlab routines that make it feasible to solve a medium scale DSGE model in a competitive time. I also provide Fortran code and Matlab/Fortran mex files for my method. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norges Bank | nb_NO |
dc.relation.ispartofseries | Working Papers;18/2013 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | generalised Sylvester equations | nb_NO |
dc.subject | solving dynamic models | nb_NO |
dc.subject | second-order approximation | nb_NO |
dc.subject | third-order approximation | nb_NO |
dc.subject | second-order matrix chain rule | nb_NO |
dc.subject | third-order matrix chain rule | nb_NO |
dc.title | Solving Second and Third-Order Approximations to DSGE Models: A Recursive Sylvester Equation Solution | nb_NO |
dc.type | Working paper | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | nb_NO |
dc.source.pagenumber | 49 | nb_NO |
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