Hello the Dynare team and users.
Yongyang Cai, Kenneth Judd, and Jevgenijs Steinbuks propose a new method to solve DSGE models (NLCEQ or nonlinear certainty equivalent approximation method). According to them, this technic can be applied to solve huge models, with many state variables, but also models with occasionally binding constraints, and also problems where the initial state is far from the steady state. They use GAMS to simulate various models (multi-country RBC model, dynamic model with food and energy, and a NK DSGE model with zero lower bound).
They assume that the NLCEQ method can be easily implemented in DYNARE (see footnote 5, page 4 in the article). So I was wondering if any of you have already used this technique, and if someone would like to share its mod file.
(This method could be very interesting to solve RBC models with a climate module that includes environmental damages due to GHG atmospheric stock)
Link of the article and GAMS codes: