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This paper evaluates the accuracy of a set of techniques that approximate the solution of continuous-time DSGE models. Using the neoclassical growth model I compare linear-quadratic, perturbation and projection methods. All techniques are applied to the HJB equation and the optimality conditions...
Persistent link: https://www.econbiz.de/10013072550
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/10013316545
. For a general framework, formulas are provided for calculating the recursive law of motion. The algorithm described here …
Persistent link: https://www.econbiz.de/10003324430
algorithm is simple to implement and provides advantages in terms of speed and accuracy over Howard’s policy improvement … algorithm. Codes are available. …
Persistent link: https://www.econbiz.de/10011509578
This chapter is concerned with numerical simulation of dynamic economic models. We focus on some basic algorithms and assess their accuracy and stability properties. This analysis is useful for an optimal implementation and testing of these procedures, as well as to evaluate their performance....
Persistent link: https://www.econbiz.de/10014024245
We survey numerical methods that are tractable in dynamic economic models with a finite, large number of continuous state variables. (Examples of such models are new Keynesian models, life-cycle models, heterogeneous-agents models, asset-pricing models, multisector models, multicountry models,...
Persistent link: https://www.econbiz.de/10014025715
- lation algorithm (GSSA) in three applications: the standard representative - agent neoclassical growth model, a model with …
Persistent link: https://www.econbiz.de/10011756280
This paper presents and compares Newton-based methods from the applied mathematics literature for solving the matrix quadratic that underlies the recursive solution of linear DSGE models. The methods are compared using nearly 100 different models from the Macroeconomic Model Data Base (MMB) and...
Persistent link: https://www.econbiz.de/10013368452
We show that the standard Value Function Iteration (VFI) algorithm has difficulties approximating models with jump …
Persistent link: https://www.econbiz.de/10010366210
We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state...
Persistent link: https://www.econbiz.de/10014308586