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Computational Economics

, Volume 25, Issue 1–2, pp 167–187 | Cite as

Solving SDGE Models: A New Algorithm for the Sylvester Equation

  • OndŘej KamenÍk
Article

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.

Keywords

stochastic dynamic general equilibrium models high-order permutations computational algorithms 

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References

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Copyright information

© Springer Science + Business Media, Inc. 2005

Authors and Affiliations

  1. 1.Monetary and Statistics DepartmentThe Czech National BankPrague 1Czech Republic

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