This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, economists approximate the policy functions of the agents in the model with numerical methods. But this implies that, instead of the exact likelihood function, the researcher...

This article proposes omnibus specification tests of parametric dynamic quantile regression models. Contrary to the existing procedures, we allow for a flexible and general specification framework where a possibly continuum of quantiles are simultaneously specified. This is the case for many...

We investigate a class of optimal control problems that exhibit constant exogenously given delays in the control in the equation of motion of the differential states. Therefore, we formulate an exemplary optimal control problem with one stock and one control variable and review some analytic...

This paper describes the numerical optimization methods used in Berger (2001) to find the complete time paths of key economic variables in neoclassical vintage capital models. An interior and a non-interior point method are discussed. Both of the methods are part of the general class of...

A numerical method for solving a class of fractional optimal control problems (FOCPs) is presented. First, the FOCP is transformed into an equivalent variational problem, then using Lagrange polynomials, the problem is reduced to the problem of solving a system of algebraic equations. With the...

We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries in funding, repo and collateral rates, as well as for early contract termination due to counterparty credit risk. We...

Improving the resilience of the economy in the face of uncertain climate change damages involves irreversible investments to scale up new technologies that are less vulnerable to the effects of climate change. The benefit of having such options includes the avoided welfare cost of diverting...

We present a novel approach to address sampling error when discretely approximating a dynamic stochastic programme with a limited finite number of scenarios to represent the underlying path probability distribution. This represents a tentative solution to the problems first identified in our...