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The Parameterized Expectations Approach: Some Practical Issues

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Author Info
Albert Marcet
Guido Lorenzoni

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Abstract

This code supports the text in Albert Marcet and Guido Lorenzoni, The Parameterized Expectations Approach: Some Practical Issues, in Ramon Marimon and Andrew Scott (eds), Computational Methods for the Study of Dynamic Economies, Chapter 7, Oxford University Press. This chapter describes the Parameterized Expectations Approach. Under PEA Conditional Expectations are treated as random functions, which are simulated in a Monte Carlo fashion. The integral is then approxiamed over the realized sample path. The chapter takes the reader step by step through this approach and six examples (of which the computer programs are available below) demonstrate the beauty and potential problems of this approach.

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File URL: http://dge.repec.org/codes/marimon-scott/Lorenzoni/
File Format: application/x-fortran
File Function: program code
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Publisher Info
Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 128.

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Programming language: Fortran
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Date of creation: 1998
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Handle: RePEc:dge:qmrbcd:128

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  1. Lilia Maliar & Serguei Maliar, 2004. "Solving Nonlinear Dynamic Stochastic Models: An Algorithm Computing Value Functions By Simulations," Working Papers. Serie AD 2004-37, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    Other versions:
  2. Alfonso Novales & Javier J. PÈrez, 2004. "Is It Worth Refining Linear Approximations to Non-Linear Rational Expectations Models?," Computational Economics, Springer, vol. 23(4), pages 343-377, 06. [Downloadable!]
    Other versions:
  3. Santiago Budría & Antonia Díaz, 2006. "Term and Equity Premium in Economies with Habit Formation," Working Papers 2006-23, FEDEA. [Downloadable!]
  4. Michael Kumhof & Irina Yakadina, 2007. "Politically Optimal Fiscal Policy," IMF Working Papers 07/68, International Monetary Fund. [Downloadable!]
  5. G. C. Lim & Paul D. McNelis, 2006. "Fiscal and Current Account Balances in a Model with Sticky Prices and Distortionary Taxes," Melbourne Institute Working Paper Series wp2006n21, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
  6. Lilia Maliar & Serguei Maliar, 2003. "Endogenous Growth And Endogenous Business Cycles," Working Papers. Serie AD 2003-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  7. Javier J. Pérez, 2001. "A Log-linear Homotopy Approach to Initialize the Parameterized Expectations Algorithm," Economic Working Papers at Centro de Estudios Andaluces E2001/02, Centro de Estudios Andaluces. [Downloadable!]
    Other versions:
  8. Lilia Maliar & Serguei Maliar, 2005. "Parameterized Expectations Algorithm: How to Solve for Labor Easily," Computational Economics, Springer, vol. 25(3), pages 269-274, June. [Downloadable!] (restricted)
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  9. Santiago Budria & Antonia Diaz, 2006. "Term Premium And Equity Premium In Economies With Habit Formation," Economics Working Papers we065522, Universidad Carlos III, Departamento de Economía. [Downloadable!]
  10. Serguei Maliar, 2001. "Idiosyncratic Shocks, Aggregate Fluctuations And The Representative Consumer," Working Papers. Serie AD 2001-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  11. S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan Francisco Rubio-Ramirez, 2003. "Comparing solution methods for dynamic equilibrium economies," Working Paper 2003-27, Federal Reserve Bank of Atlanta. [Downloadable!]
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  12. Humberto Moreira & Wilfredo Maldonado, 2003. "A contractive method for computing the stationary solution of the Euler equation," Economics Bulletin, Economics Bulletin, vol. 3(1), pages 1-14. [Downloadable!]
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  13. Ángel Gavilán & Juan A. Rojas, 2009. "Solving Portfolio Problems with the Smolyak-Parameterized Expectations Algorithm," Banco de España Working Papers 0838, Banco de España. [Downloadable!]
  14. Alexis Anagnostopoulos, 2004. "Consumption and Debt Dynamics with (Rarely Binding) Borrowing Constraints," Economics Working Papers ECO2004/34, European University Institute. [Downloadable!]
  15. Alexandre Dmitriev, 2006. "Technological Transfers, Limited Commitment and Growth," Computing in Economics and Finance 2006 248, Society for Computational Economics. [Downloadable!]
    Other versions:
  16. Kenneth Judd & Lilia Maliar & Serguei Maliar, 2009. "Numerically Stable Stochastic Simulation Approaches for Solving Dynamic Economic Models," NBER Working Papers 15296, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  17. Michael Creel, 2008. "Using Parallelization to Solve a Macroeconomic Model: A Parallel Parameterized Expectations Algorithm," Computational Economics, Springer, vol. 32(4), pages 343-352, November. [Downloadable!] (restricted)
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