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Computation of business cycle models : a comparison of numerical methods

Heer, Burkhard; Maußner, Alfred - 2004

We compare the numerical methods that are most widely applied in the computation of the standard business cycle model with flexible labor. The numerical techniques imply economically insignificant differences with regard to business cycle summary statistics except for the volatility of...

Persistent link: https://www.econbiz.de/10010275772

Value function iteration as a solution method for the Ramsey model

Heer, Burkhard; Maußner, Alfred - 2008

Value function iteration is one of the standard tools for the solution of the Ramsey model. We compare six different ways of value function iteration with regard to speed and precision. We find that value function iteration with cubic spline interpolation between grid points dominates the other...

Persistent link: https://www.econbiz.de/10010275799

The Krusell-Smith Algorithm: Are Self-fulfilling Equilibria Likely?

Cozzi, Marco - 2014

I investigate whether the popular Krusell and Smith algorithm used to solve heterogeneousagent economies with aggregate … guess to compute the equilibrium with this algorithm. In a sequence of cases, differing only in the magnitude of the …-correcting mechanism present in the algorithm: compared to the equilibrium law of motion, a candidate one implying a higher (lower …

Persistent link: https://www.econbiz.de/10010368279

Comparing solution methods for DSGE models with labor market search

Lan, Hong - 2014

I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the Chebyshev polynomials as its basis, and the perturbation methods up to...

Persistent link: https://www.econbiz.de/10010427067

Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison

Cozzi, Marco - 2014

This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...

Persistent link: https://www.econbiz.de/10011380826

Adverse selection, risk sharing and business cycles

Veracierto, Marcelo - 2014

I consider a real business cycle model in which agents have private information about an idiosyncratic shock to their value of leisure. I consider the mechanism design problem for this economy and describe a computational method to solve it. This is an important contribution of the paper since...

Persistent link: https://www.econbiz.de/10011460676

Firms' heterogeneity, endogenous entry, and exit decisions

Totzek, Alexander - 2009

As GDP is highly correlated with both entering and exiting firms, we develop a totally microfounded DSGE model with endogenous firms entry as well as exit decisions. We show that the simplifying assumption of a constant firms' death rate made by the recent literature on DSGE modelling can lead...

Persistent link: https://www.econbiz.de/10010299744

Lumpy labor adjustment as a propagation mechanism of business cycles

Yao, Fang - 2008

I explore the aggregate effects of micro lumpy labor adjustment in a prototypical RBC model, which embeds a stochastic labor duration mechanism in the spirit of Calvo(1983), and it extends this approach by introducing a Weibull-distributed labor adjustment process to capture the increasing...

Persistent link: https://www.econbiz.de/10010263744

JBendge: An object-oriented system for solving, estimating and selecting nonlinear dynamic models

Winschel, Viktor; Krätzig, Markus - 2008

is done by a parallel Metropolis-Hastings (MH) algorithm using a linear or nonlinear state space filters. Implemented are …

Persistent link: https://www.econbiz.de/10010263731

Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality

Winschel, Viktor; Krätzig, Markus - 2008

posterior of the structural parameters is estimated by a new Metropolis-Hastings algorithm with mixing parallel sequences. The … parallel extension improves the global maximization property of the algorithm, simplifies the choice of the innovation …

Persistent link: https://www.econbiz.de/10010263720