A system reduction method to efficiently solve DSGE models

Kolver Hernandez

Journal of Economic Dynamics and Control, 2013, vol. 37, issue 3, 571-576

Abstract: The paper presents a system reduction method (SRM) to improve the computational time to solve a large class of dynamic stochastic general equilibrium (DSGE) models with the methods of Anderson and Moore (1985), Klein (2000), Sims (2002) or Uhlig (1995). I measure the efficiency gains with seven models ranging from 47 to 333 equations. The time reduction for the Anderson–Moore algorithm aim ranges from 10% to 71%; Klein's function solab reduces its time between 51% and 79%; the time reduction for Sims' function gensys increases from 25% to 59%; Uhlig's function solve reduces its time between 31% and 87%. The time reduction can be crucial for Bayesian estimation of medium to large scale models.

Keywords: Solution of DSGE models; System reduction algorithm; Solution of linear rational expectation models; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C63 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:37:y:2013:i:3:p:571-576

DOI: 10.1016/j.jedc.2012.09.013

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