Numerical solution of dynamic economic models
In: Handbook of Macroeconomics
AbstractThis 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. Several examples are provided in order to illustrate the functioning and efficiency of these algorithms.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
This chapter was published in:
This item is provided by Elsevier in its series Handbook of Macroeconomics with number 1-05.
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/bookseriesdescription.cws_home/BS_HE/description
Find related papers by JEL classification:
- E0 - Macroeconomics and Monetary Economics - - General
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Lilia Maliar & Serguei Maliar, 2013.
"Envelope condition method versus endogenous grid method for solving dynamic programming problems,"
Working Papers. Serie AD
2013-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Maliar, Lilia & Maliar, Serguei, 2013. "Envelope condition method versus endogenous grid method for solving dynamic programming problems," Economics Letters, Elsevier, vol. 120(2), pages 262-266.
- Francisco Barillas & Jesús Fernández-Villaverde, 2006.
"A Generalization of the Endogenous Grid Method,"
122247000000001200, UCLA Department of Economics.
- Joël Blot & Bertrand Crettez, 2004. "On the smoothness of optimal paths," Decisions in Economics and Finance, Springer, vol. 27(1), pages 1-34, 08.
- Chen, Yu & Cosimano, Thomas F. & Himonas, Alex A., 2008. "Analytic solving of asset pricing models: The by force of habit case," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3631-3660, November.
- Santos, Manuel S., 2004. "Simulation-based estimation of dynamic models with continuous equilibrium solutions," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 465-491, June.
- 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.
- Serguei Maliar & Lilia Maliar & Kenneth Judd, 2010. "Numerically Stable Stochastic Simulation Approaches for Solving Dynamic Economic Models," 2010 Meeting Papers 280, Society for Economic Dynamics.
- S. B. Aruoba & Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2005.
"Comparing Solution Methods for Dynamic Equilibrium Economies,"
122247000000000855, UCLA Department of Economics.
- Aruoba, S. Boragan & Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Comparing solution methods for dynamic equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2477-2508, December.
- S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2003. "Comparing Solution Methods for Dynamic Equilibrium Economies," PIER Working Paper Archive 04-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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.
- Manuel Santos & John Rust, . "Convergence Properties of Policy Iteration," Working Papers 2133377, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Manuel Santos & Jorge Aseff, .
"Stock Options and Managerial Optimal Contracts,"
2133304, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Olson, Lars J. & Roy, Santanu, 2005. "Theory of Stochastic Optimal Economic Growth," Working Papers 28601, University of Maryland, Department of Agricultural and Resource Economics.
- Esteban-Bravo, Mercedes & Vidal-Sanz, Jose M., 2007.
"Computing continuous-time growth models with boundary conditions via wavelets,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 31(11), pages 3614-3643, November.
- Mercedes Esteban-Bravo & Jose M. Vidal-Sanz, 2004. "Computing Continuous-Time Growth Models With Boundary Conditions Via Wavelets," Business Economics Working Papers wb045619, Universidad Carlos III, Departamento de Economía de la Empresa.
- Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer, vol. 42(3), pages 461-503, March.
- Manuel S. Santos, 2003. "Simulation-Based Estimation Of Dynamic Models With Continuous Equilibrium Solutions," Economics Working Papers we034716, Universidad Carlos III, Departamento de Economía.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.