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Computation of solutions to dynamic models with occasionally binding constraints.
Holden, Tom D. - 2016 - This version: 3 April 2016
We construct the first algorithm for the perfect foresight solution of otherwise linear models with occasionally binding constraints, with fixed terminal conditions, that is guaranteed to return a solution in finite time, if one exists. We also provide a proof of the inescapability of the "curse...
Persistent link: https://www.econbiz.de/10011452243
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The market resources method for solving dynamic optimization problems
Kabukçuoğlu, Ayşe; Martínez-García, Enrique - 2016 - This draft: June 16, 2016
We introduce the market resources method (MRM) for solving dynamic optimization problems. MRM extends Carroll’s (2006) endogenous grid point method (EGM) for problems with more than one control variable using policy function iteration. The MRM algorithm is simple to implement and provides...
Persistent link: https://www.econbiz.de/10011509578
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Iterative refinement of the QZ decomposition for solving linear DSGE models
Huber, Johannes; Meyer-Gohde, Alexander - 2025
The standard approach to solving linear DSGE models is to apply the QZ method. It is a one-shot algorithm that leaves the researcher with little alternative than to seek a different algorithm should the result be numerically unsatisfactory. We develop an iterative implementation of QZ that...
Persistent link: https://www.econbiz.de/10015206920
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Solving linear DSGE models with structure-preserving doubling methods
Huber, Johannes; Meyer-Gohde, Alexander; Saecker, Johanna - 2023
This paper applies structure preserving doubling methods to solve the matrix quadratic underlying the recursive solution of linear DSGE models. We present and compare two Structure-Preserving Doubling Algorithms (SDAs) to other competing methods - the QZ method, a Newton algorithm, and an...
Persistent link: https://www.econbiz.de/10014444739
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Solving linear DSGE models with Bernoulli iterations
Meyer-Gohde, Alexander - 2023
This paper presents and compares Bernoulli iterative approaches for solving linear DSGE models. The methods are compared using nearly 100 different models from the Macroeconomic Model Data Base (MMB) and different parameterizations of the monetary policy rule in the medium-scale New Keynesian...
Persistent link: https://www.econbiz.de/10014252497
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Risk-Adjusted Linearizations of Dynamic Equilibrium Models
Lopez, Pierlauro - 2018
-Cochrane habits, recursive preferences, and time-varying disaster risk. The proposed affine approximation performs similarly to global …We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and … non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature …
Persistent link: https://www.econbiz.de/10012906892
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Risk-Adjusted Linearizations of Dynamic Equilibrium Models
Lopez, Pierlauro - 2018
-Cochrane habits, recursive preferences, and time-varying disaster risk. The proposed affine approximation performs similarly to global …We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and … non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature …
Persistent link: https://www.econbiz.de/10012937173
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On the applicability of global approximation methods for models with jump discontinuities in policy functions
Görtz, Christoph; Mirza, Afrasiab - 2014
We show that the standard Value Function Iteration (VFI) algorithm has difficulties approximating models with jump discontinuities in policy functions. We find that VFI fails to accurately identify the location and size of jump discontinuities while other methods - such as the Endogenous Grid...
Persistent link: https://www.econbiz.de/10010366210
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A Comparison of Numerical Methods for the Solution of Continuous-Time DSGE Models
Parra-Alvarez, Juan Carlos - 2013
. Using the neoclassical growth model I compare linear-quadratic, perturbation and projection methods. All techniques are …
Persistent link: https://www.econbiz.de/10013072550
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Value Function Iteration as a Solution Method for the Ramsey Model
Heer, Burkhard; Maußner, Alfred - 2021
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