We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state...

The standard approach to solving linear DSGE models is to apply the QZ method. It is a one-shot algorithm that leaves the researcher with little alternative than to seek a different algorithm should the result be numerically unsatisfactory. We develop an iterative implementation of QZ that...

This paper applies structure preserving doubling methods to solve the matrix quadratic underlying the recursive solution of linear DSGE models. We present and compare two Structure-Preserving Doubling Algorithms (SDAs) to other competing methods - the QZ method, a Newton algorithm, and an...

This paper presents and compares Bernoulli iterative approaches for solving linear DSGE models. The methods are compared using nearly 100 different models from the Macroeconomic Model Data Base (MMB) and different parameterizations of the monetary policy rule in the medium-scale New Keynesian...

I present an undetermined coefficients method for obtaining a linear approximating to the solution of a dynamic, rational expectations model. I also show how that solution can be used to compute the model's implications for impulse response functions and for second moments

I present an undetermined coefficients method for obtaining a linear approximating to the solution of a dynamic, rational expectations model. I also show how that solution can be used to compute the model's implications for impulse response functions and for second moments