We develop numerically stable stochastic simulation approaches for solving dynamic economic models. We rely on standard simulation procedures to simultaneously compute an ergodic distribution of state variables, its support and the associated decision rules. We differ from existing methods,...

We characterize and demonstrate a solution method for an optimal commodity (sales) tax problem consisting of multiple goods, heterogeneous agents, and a nonconvex policy maker optimization problem. Our approach allows for more dimensions of heterogeneity than has been previously possible,...

This paper develops a novel method to estimate production functions. Earlier papers rely on special assumptions about the functional form of production functions. Our approach efficiently estimates all parameters of any production functions with Hicks-neutral productivity without additional...

This essay examines the idea and potential of a computational approach to theory,' discusses methodological issues raised by such computational methods, and outlines the problems associated with the dissemination of computational methods and the exposition of computational results. We argue that...

Continuous-time stochastic games with a finite number of states have substantial computational and conceptual advantages over the more common discrete-time model. In particular, continuous time avoids a curse of dimensionality and speeds up computations by orders of magnitude in games with more...

Many bond portfolio managers argue that bond laddering tends to outperform other bond investment strategies because it reduces both market price risk and reinvestment risk for a bond portfolio in the presence of interest rate uncertainty. Despite the popularity of bond ladders as a strategy for...