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.

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Year of publication:	2005-12
Authors:	Kamenik, Ondrej
Institutions:	Česká Národní Banka
Subject:	Dynamic general equilibrium \| doubling algorithm \| perturbation approach \| recursive algorithm

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Classification:	C63 - Computational Techniques ; C68 - Computable General Equilibrium Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005181159