Solving SDGE Models: A New Algorithm for the Sylvester Equation

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

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Year of publication:	2005
Authors:	KamenÍk, OndŘej
Published in:	Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 25.2005, 1, p. 167-187
Publisher:	Society for Computational Economics - SCE
Subject:	stochastic dynamic general equilibrium models \| high-order permutations \| computational algorithms

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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