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Solving Nonlinear Dynamic Stochastic Models: An Algorithm Computing Value Functions By Simulations

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Author Info

  • Lilia Maliar

    ()
    (Universidad de Alicante)

  • Serguei Maliar

    (Universidad de Alicante)

Abstract

This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the existing methods in some applications.

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File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2004-37.pdf
File Function: Fisrt version / Primera version, 2004
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Bibliographic Info

Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2004-37.

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Length: 15 pages
Date of creation: Oct 2004
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2004-37

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Related research

Keywords: Nonlinear stochastic models; Value function; Parameterized expectations; Monte Carlo simulations; Numerical solutions;

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References

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  1. Lawrence J. Christiano & Jonas D.M. Fisher, 1997. "Algorithms for solving dynamic models with occasionally binding constraints," Working Paper Series, Macroeconomic Issues WP-97-15, Federal Reserve Bank of Chicago.
  2. Lilia Maliar & Serguei Maliar, 2001. "Parametrized Expectations Algorithm And The Moving Bounds," Working Papers. Serie AD 2001-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  3. David Andolfatto & Glenn M. MacDonald, 1998. "Technology Diffusion and Aggregate Dynamics," Working Papers 98005, University of Waterloo, Department of Economics, revised Jan 1998.
  4. Andolfatto, D. & MacDonald, G.M., 1995. "Technological Innovation, Diffusion, and Business Cycle Dynamics," Working Papers 9503, University of Waterloo, Department of Economics.
  5. Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729 Elsevier.
  6. Scott Freeman & Dong-Pyo Hong & Dan Peled, 1999. "Endogenous Cycles and Growth with Indivisible Technological Developments," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(2), pages 402-432, April.
  7. den Haan, Wouter J & Marcet, Albert, 1990. "Solving the Stochastic Growth Model by Parameterizing Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 31-34, January.
  8. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, Spring.
  9. repec:fth:simfra:95-08 is not listed on IDEAS
  10. Albert Marcet & Guido Lorenzoni, 1998. "The Parameterized Expectations Approach: Some Practical Issues," QM&RBC Codes 128, Quantitative Macroeconomics & Real Business Cycles.
  11. Marimon, Ramon & Scott, Andrew (ed.), 1999. "Computational Methods for the Study of Dynamic Economies," OUP Catalogue, Oxford University Press, number 9780198294979.
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Citations

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Cited by:
  1. In Chang Hwang & Richard S.J. Tol & Marjan W. Hofkes, 2013. "Active Learning about Climate Change," Working Paper Series 6513, Department of Economics, University of Sussex.
  2. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2011. "How to Solve Dynamic Stochastic Models Computing Expectations Just Once," NBER Working Papers 17418, National Bureau of Economic Research, Inc.

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