Fifth-Order Perturbation Solution to DSGE Models
31 Pages Posted: 9 Dec 2013 Last revised: 2 Mar 2017
Date Written: February 24, 2017
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 to 55 times faster than Dynare , depending on model size and solution order.
Keywords: Perturbation, Fifth order, High order multivariate chain rules, Sylvester equation, DSGE, Symmetric tensors
JEL Classification: C63, C68, E0
Suggested Citation: Suggested Citation