A recent literature have proposed different methods to produce second-order accurate approximation to the solutions to DGSE's from a straightforward second-order approximation of the model. Among others, Judd (2002), Jin and Judd (2002) show how to compute approximation of arbitrary order on...

First-order approximations to the solution to a Dynamic Stochastic General Equilibrium Model (DGSE) are now widely used in the literature. In particular, the solution is usually based on the standard log-linearisation procedure around the steady-state. However, it may be not enough especially...