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Dear Dynare-Friends,

I want to ask you if anyone has used the order=2 option in the estimation command?

When I use it, the estimation gets EXTREMLY slow!
What can I do to speed it up?
Why is the estimation so slow?

Kind regards,
Daniel

Because non linear estimation of dsge model are incredibly complex and computationally intensive.
Of course, the size of your model matters but even using small model could not improve the situation.

Exactly. At higher order the filtering problem cannot be solved analytically using the Kalman filter. Rather, simulation based filters are used that require in each step the simulation of N*T periods.