Solving SDGE Models: A New Algorithm for the Sylvester Equation

Ondra Kamenik

Computational Economics, 2005, vol. 25, issue 1, 167-187

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. Copyright Springer Science + Business Media, Inc. 2005

Keywords: stochastic dynamic general equilibrium models; high-order permutations; computational algorithms (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (10)

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Working Paper: 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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DOI: 10.1007/s10614-005-6280-y

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