This paper considers the solution of nonlinear rational expectations models resulting from the optimality conditions of a finite-horizon intertemporal optimization problem satisfying Bellman's principle of optimality (and possibly involving inequality constraints). A backward recursive procedure...

The mathematical definition of systems with hysteresis, that is nonlinear input-output systems with memory, is different from the definition usually applied to economic systems. Economic theory and modelling practice have almost always specified simple dynamic systems with regular leads and lags...

A new wavelet-based nonparametric estimator is introduced in an effort to approximate variance functions. The new estimator possesses some superior qualities that are illustrated through its actual performance in some simulations. Citation Copyright 2000 by Kluwer Academic Publishers.

We describe a homotopy algorithm for the computation of equilibria in Stochastic Finance Economies. The algorithm solves a nonlinear system of equations consisting of the first-order conditions of the agents' utility maximization problems and market-clearing conditions. Moreover, we discuss the...

This paper discusses computational issues raised by a generic solution and estimation methodology applicable to a broad range of empirical game theoretic models with incomplete information. By combining the use of Monte Carlo simulation techniques with that of smooth kernel estimation of...

The problem of computing estimates of parameters in SURE models with variance inequalities and positivity of correlations constraints is considered. Efficient algorithms that exploit the block bidiagonal structure of the data matrix are presented. The computational complexity of the main matrix...

Consistent estimation requires finding the global maximum of some specified objective function. Local maxima are often easy to find, but do not necessarily yield consistent estimates. In many nonlinear applications, the researcher can rarely be certain that a found local maximum is global. This...