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
ePrint ID: 174063
Date Deposited: 10 Feb 2011 11:17
Last Modified: 27 Mar 2014 19:21
URI: http://eprints.soton.ac.uk/id/eprint/174063

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