Search Results - subject:"Parameterized expectations algorithm"

Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models

Judd, Kenneth; Maliar, Lilia; Maliar, Serguei - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2011

We develop numerically stable and accurate stochastic simulation approaches for solving dynamic economic models. First, instead of standard least-squares methods, we examine a variety of alternatives, including least-squares methods using singular value decomposition and Tikhonov regularization,...

Persistent link: https://www.econbiz.de/10009228750

Solving the multi-country real business cycle model using ergodic set methods

Judd, Kenneth; Maliar, Lilia; Maliar, Serguei - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2011

We use the stochastic simulation algorithm, described in Judd, Maliar and Maliar (2009), and the cluster-grid algorithm, developed in Judd, Maliar and Maliar (2010a), to solve a collection of multi-country real business cycle models. The following ingredients help us reduce the cost in...

Persistent link: https://www.econbiz.de/10008800459

Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models

Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei - In: Quantitative economics : QE ; journal of the … 2 (2011) 2, pp. 173-210

We develop numerically stable and accurate stochastic simulation approaches for solving dynamic economic models. First, instead of standard least-squares approximation methods, we examine a variety of alternatives, including least- squares methods using singular value decomposition and Tikhonov...

Persistent link: https://www.econbiz.de/10011756280

A nonparametric approach to solving a simple one-sector stochastic growth model

Shaw, Philip - In: Economics Letters 125 (2014) 3, pp. 447-450

In this paper we present a nonparametric approach to solving a simple one-sector stochastic growth model. A distinct advantage of our approach is that it does not require placing restrictions on the generally unknown conditional expectations functions. Our method is shown to be accurate and...

Persistent link: https://www.econbiz.de/10011116207

A nonparametric approach to solving a simple one-sector stochastic growth model

Shaw, Philip - In: Economics letters 125 (2014) 3, pp. 447-450

Persistent link: https://www.econbiz.de/10010506516

Using Parallelization to Solve a Macroeconomic Model: A Parallel Parameterized Expectations Algorithm

Creel, Michael - In: Computational Economics 32 (2008) 4, pp. 343-352

Persistent link: https://www.econbiz.de/10005701751

Parameterized Expectations Algorithm and the Moving Bounds: a comment on convergence properties

Pérez, Javier J.; Sánchez, A. Jesús - Centro de Estudios Andaluces, Government of Andalusia - 2005

Expectations Algorithm suggested by Maliar and Maliar (2003) [Journal of Business and Economic Statistics 1, pp. 88-92]. We carry …In this paper we analyze the convergence properties of the moving bounds algorithm to initialize the Parameterized …

Persistent link: https://www.econbiz.de/10005157550

A Log-linear Homotopy Approach to Initialize the Parameterized Expectations Algorithm

Pérez, Javier J. - Centro de Estudios Andaluces, Government of Andalusia - 2001

expectations models with the Parameterized Expectations Algorithm. The proposal is based on a log-linear approximation to the model … proposal are: i. it guarantees the ergodicity of the initial time series used as an input to the Parameterized Expectations … algorithm; ii. it performs well as regards speed of convergence when compared to some homotopy alternatives; iii. it is easy to …

Persistent link: https://www.econbiz.de/10005187548