Fifth-order perturbation solution to DSGE models |
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Affiliation: | 1. University of Georgia, United States;2. Colby College, United States;3. University of Notre Dame, United States;4. NBER, United States |
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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. |
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