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
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Estimation using order=2
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Re: Estimation using order=2
by federico » Tue Mar 31, 2015 10:23 am
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.
Of course, the size of your model matters but even using small model could not improve the situation.
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Re: Estimation using order=2
by jpfeifer » Thu Apr 02, 2015 9:04 am
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.
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