Second-order approximation of dynamic models without the use of tensors
Gomme, Paul and Klein, Paul (2011) Second-order approximation of dynamic models without the use of tensors. Journal of Economic Dynamics and Control, 35, (4), 604-615. (doi:10.1016/j.jedc.2010.10.006 ).
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Description/Abstract
Several approaches to finding the second-order approximation to a dynamic model have been proposed recently. This paper differs from the existing literature in that it makes use of the Magnus and Neudecker (1999) definition of the Hessian matrix. The key result is a linear system of equations that characterizes the second-order coefficients. No use is made of multi-dimensional arrays or tensors, a practical implication of which is that it is much easier to transcribe the mathematical representation of the solution into usable computer code. Matlab code is available from http://paulklein.se/newsite/codes/codes.php; Fortran 90 code is available from http://alcor.concordia.ca/pgomme/.
| Item Type: | Article |
|---|---|
| ISSNs: | 0165-1889 (print) |
| Keywords: | solving dynamic models, second-order approximation |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Divisions: | University Structure - Pre August 2011 > School of Social Sciences > Economics |
| Item ID: | 174063 |
| Date Deposited: | 10 Feb 2011 11:17 |
| Last Modified: | 01 Jun 2011 05:42 |
| Contributors: | Gomme, Paul (Author) Klein, Paul (Author) |
| Date: | April 2011 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/174063 |
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