Arbeitspapier
Solving linear DSGE models with structure-preserving doubling methods
This paper applies structure preserving doubling methods to solve the matrix quadratic underlying the recursive solution of linear DSGE models. We present and compare two Structure-Preserving Doubling Algorithms (SDAs) to other competing methods - the QZ method, a Newton algorithm, and an iterative Bernoulli approach - as well as the related cyclic and logarithmic reduction algorithms. Our comparison is completed using nearly 100 different models from the Macroeconomic Model Data Base (MMB) and different parameterizations of the monetary policy rule in the medium scale New Keynesian model of Smets and Wouters (2007) iteratively. We find that both SDAs perform very favorably relative to QZ, with generally more accurate solutions computed in less time. While we collect theoretical convergence results that promise quadratic convergence rates to a unique stable solution, the algorithms may fail to converge when there is a breakdown due to singularity of the coefficient matrices in the recursion. One of the proposed algorithms can overcome this problem by an appropriate (re)initialization. This SDA also performs particular well in refining solutions of different methods or from nearby parameterizations.
- Sprache
-
Englisch
- Erschienen in
-
Series: IMFS Working Paper Series ; No. 195
- Klassifikation
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Computational Techniques; Simulation Modeling
General Aggregative Models: Forecasting and Simulation: Models and Applications
- Thema
-
Numerical accuracy
DSGE
Solution methods
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Huber, Johannes
Meyer-Gohde, Alexander
Saecker, Johanna
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
11.03.2025, 06:18 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Huber, Johannes
- Meyer-Gohde, Alexander
- Saecker, Johanna
- Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)
Entstanden
- 2023
Ähnliche Objekte (12)
Solving linear DSGE models withstructure-preserving doubling methods
Solving linear DSGE models with Newton methods
Solving linear DSGE models with Newton methods
Solving linear DSGE models with Bernoulli iterations
Solving linear DSGE models with Newton methods
Solving linear DSGE models with Bernoulli iterations
DSGE Nash: Solving Nash games in macro models
Solving DSGE models with a nonlinear moving average
Solving DSGE portfolio choice models with asymmetric countries
Solving DSGE Portfolio Choice Models with Asymmetric Countries
Solving DSGE Models with a Nonlinear Moving Average
Solving DSGE PortfolioChoice Models withAsymmetric Countries
Solving linear DSGE models withstructure-preserving doubling methods
Solving linear DSGE models with Newton methods
Solving linear DSGE models with Newton methods
Solving linear DSGE models with Bernoulli iterations
Solving linear DSGE models with Newton methods
Solving linear DSGE models with Bernoulli iterations
DSGE Nash: Solving Nash games in macro models
Solving DSGE models with a nonlinear moving average
Solving DSGE portfolio choice models with asymmetric countries
Solving DSGE Portfolio Choice Models with Asymmetric Countries
Solving DSGE Models with a Nonlinear Moving Average
Solving DSGE PortfolioChoice Models withAsymmetric Countries
Solving linear DSGE models withstructure-preserving doubling methods
Solving linear DSGE models with Newton methods
Solving linear DSGE models with Newton methods
Solving linear DSGE models with Bernoulli iterations
Solving linear DSGE models with Newton methods
Solving linear DSGE models with Bernoulli iterations
DSGE Nash: Solving Nash games in macro models
Solving DSGE models with a nonlinear moving average
Solving DSGE portfolio choice models with asymmetric countries
Solving DSGE Portfolio Choice Models with Asymmetric Countries
Solving DSGE Models with a Nonlinear Moving Average