Fifth-order perturbation solution to DSGE models

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2017
Volume: 80
Issue: C
Pages: 1-16

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper derives a fifth-order perturbation solution to DSGE models. The paper develops a new notation that reduces the notational complexity of high-order solutions and yields a faster code. The new notation consists of new matrix forms of high-order multivariate chain rules and a new representation of the model as a function of one vector variable. The algorithm that implements the new notation is between 3 and 55 times faster than Dynare++, depending on model size and solution order.

Technical Details

RePEc Handle
repec:eee:dyncon:v:80:y:2017:i:c:p:1-16
Journal Field
Macro
Author Count
1
Added to Database
2026-01-25