Solving SDGE Models: A New Algorithm for the Sylvester Equation

Ondra Kamenik

Working Papers from Czech National Bank, Research and Statistics Department

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.

Keywords: Dynamic general equilibrium; doubling algorithm; perturbation approach; recursive algorithm. (search for similar items in EconPapers)
JEL-codes: C63 C68 (search for similar items in EconPapers)
Date: 2005-12
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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https://www.cnb.cz/export/sites/cnb/en/economic-re ... wp/cnbwp_2005_10.pdf

Related works:
Journal Article: Solving SDGE Models: A New Algorithm for the Sylvester Equation (2005)
Working Paper: Solving SDGE Models: A New Algorithm for Sylvester Equation (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2005/10

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