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Solving SDGE Models: A New Algorithm for the Sylvester Equation

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Abstract

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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Authors and Affiliations

  1. Monetary and Statistics Department, The Czech National Bank, Na Prikope 28, 115 03, Prague 1, Czech Republic

    OndŘej KamenÍk

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  1. OndŘej KamenÍk
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Correspondence to OndŘej KamenÍk.

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KamenÍk, O. Solving SDGE Models: A New Algorithm for the Sylvester Equation. Comput Econ 25, 167–187 (2005). https://doi.org/10.1007/s10614-005-6280-y

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  • DOI: https://doi.org/10.1007/s10614-005-6280-y

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