Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210041
Authors: 
Binning, Andrew
Year of Publication: 
2013
Series/Report no.: 
Working Paper No. 2013/18
Abstract: 
In this paper I derive the matrix chain rules for solving a second and a third-order approximation to a DSGE model that allow the use of a recursive Sylvester equation solution method. In particular I use the solution algorithms of Kamenik (2005) and Martin & Van Loan (2006) to solve the generalised Sylvester equations. Because I use matrix algebra instead of tensor notation to find the system of equations, I am able to provide standalone Matlab routines that make it feasible to solve a medium scale DSGE model in a competitive time. I also provide Fortran code and Matlab/Fortran mex files for my method.
Subjects: 
generalised Sylvester equations
solving dynamic models
second-order approximation
third-order approximation
second-order matrix chain rule
third-order matrix chain rule
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-771-1
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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