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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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; Fortran 90 code is available from

Item Type: Article
Digital Object Identifier (DOI): doi:10.1016/j.jedc.2010.10.006
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
ePrint ID: 174063
Accepted Date and Publication Date:
April 2011Published
Date Deposited: 10 Feb 2011 11:17
Last Modified: 31 Mar 2016 13:32

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