Fifth-order perturbation solution to DSGE models. (English) Zbl 1401.91245
Summary: 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.
MSC:
| 91B51 | Dynamic stochastic general equilibrium theory |
| 91B70 | Stochastic models in economics |
| 91-04 | Software, source code, etc. for problems pertaining to game theory, economics, and finance |
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