Solving SDGE models: a new algorithm for the Sylvester equation

DOI10.1007/s10614-005-6280-yzbMath1075.91030OpenAlexW2085498745MaRDI QIDQ2575456

Ondřej Kameník

Publication date: 9 December 2005

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: http://www.nusl.cz/ntk/nusl-123955

zbMATH Keywords

computational algorithmshigh-order permutationsstochastic dynamic general equilibrium models

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Economic growth models (91B62) General equilibrium theory (91B50)

Related Items (8)

Fifth-order perturbation solution to DSGE models ⋮ Recursive blocked algorithms for linear systems with Kronecker product structure ⋮ Efficient bond price approximations in non-linear equilibrium-based term structure models ⋮ Second-order approximation of dynamic models without the use of tensors ⋮ Low-Rank Updates and a Divide-And-Conquer Method for Linear Matrix Equations ⋮ Solving DSGE models with a nonlinear moving average ⋮ Solvability of perturbation solutions in DSGE models ⋮ Two-sided coupled generalized Sylvester matrix equations solving using a simultaneous decomposition for fifteen matrices

Uses Software

• mctoolbox

Cites Work

• An Algorithm for Computing Reducing Subspaces by Block Diagonalization
• Numerical Considerations in Computing Invariant Subspaces
• Accuracy and Stability of Numerical Algorithms
• Algorithm 432 [C2: Solution of the matrix equation AX + XB = C [F4]]
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