Advanced Search
MyIDEAS: Login to save this paper or follow this series

Algorithms for Solving Dynamic Models with Occasionally Binding Constraints

Contents:

Author Info

  • Lawrence J. Christiano
  • Jonas D.M. Fisher

Abstract

We describe and compare several algorithms for approximating the solution to a model in" which inequality constraints occasionally bind. Their performance is evaluated and compared" using various parameterizations of the one sector growth model with irreversible investment. We" develop parameterized expectation algorithms which, on the basis of speed convenience of implementation, appear to dominate the other algorithms."

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0218.

as in new window
Length:
Date of creation: Oct 1997
Date of revision:
Publication status: published as Christiano, Lawrence J. and Jonas D.M. Fisher. "Algorithms For Solving Dynamic Models With Occasionally Binding Constraints," Journal of Economic Dynamics and Control, 2000, v24(8,Jul), 1179-1232.
Handle: RePEc:nbr:nberte:0218

Note: EFG
Contact details of provider:
Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Phone: 617-868-3900
Email:
Web page: http://www.nber.org
More information through EDIRC

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. John Coleman, Wilbur II & Gilles, Christian & Labadie, Pamela, 1992. "The liquidity premium in average interest rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 30(3), pages 449-465, December.
  2. Telmer, Chris I, 1993. " Asset-Pricing Puzzles and Incomplete Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1803-32, December.
  3. Marcet, Albert & Singleton, Kenneth J., 1999. "Equilibrium Asset Prices And Savings Of Heterogeneous Agents In The Presence Of Incomplete Markets And Portfolio Constraints," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 3(02), pages 243-277, June.
  4. Albert Marcet & Ramon Marimon, 1991. "Communication, commitment and growth," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1, Department of Economics and Business, Universitat Pompeu Fabra.
  5. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, SUNY-Oswego, Department of Economics, number comp1, Spring.
  6. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset Pricing Lessons for Modeling Business Cycles," NBER Working Papers 5262, National Bureau of Economic Research, Inc.
  7. den Haan, Wouter J., 1995. "The term structure of interest rates in real and monetary economies," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 19(5-7), pages 909-940.
  8. repec:cup:macdyn:v:1:y:1997:i:2:p:355-86 is not listed on IDEAS
  9. Kahn, James A, 1992. "Why Is Production More Volatile Than Sales? Theory and Evidence on the Stockout-Avoidance Motive for Inventory-Holding," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 107(2), pages 481-510, May.
  10. Den Haan, Wouter J., 1997. "Solving Dynamic Models With Aggregate Shocks And Heterogeneous Agents," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 1(02), pages 355-386, June.
  11. Heaton, John & Lucas, Deborah, 1992. "The effects of incomplete insurance markets and trading costs in a consumption-based asset pricing model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 16(3-4), pages 601-620.
  12. Lawrence J. Christiano & Jonas D.M. Fisher, 1994. "Algorithms for solving dynamic models with occasionally binding constraints," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 94-6, Federal Reserve Bank of Chicago.
  13. Wright, Brian D & Williams, Jeffrey C, 1982. "The Economic Role of Commodity Storage," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 92(367), pages 596-614, September.
  14. David R. Stockman, 2001. "Balanced-Budget Rules: Welfare Loss and Optimal Policies," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(2), pages 438-459, July.
  15. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, The MIT Press, edition 1, volume 1, number 0262100711, December.
  16. Greenwood, J. & MacDonald, G. & Zhang, J.G., 1994. "The Cyclical Behavior of Job Creation and Job Destruction: A Sectoral Model," RCER Working Papers 394, University of Rochester - Center for Economic Research (RCER).
  17. Albert Marcet & David A. Marshall, 1994. "Solving nonlinear rational expectations models by parameterized expectations: Convergence to stationary solutions," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 76, Department of Economics and Business, Universitat Pompeu Fabra.
  18. Huggett, Mark, 1993. "The risk-free rate in heterogeneous-agent incomplete-insurance economies," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 17(5-6), pages 953-969.
  19. Ellen R. McGrattan, 1993. "Solving the stochastic growth model with a finite element method," Staff Report, Federal Reserve Bank of Minneapolis 164, Federal Reserve Bank of Minneapolis.
  20. Wright, Brian D & Williams, Jeffrey C, 1984. "The Welfare Effects of the Introduction of Storage," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 99(1), pages 169-92, February.
  21. John Heaton & Deborah Lucas, 1993. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," NBER Working Papers 4249, National Bureau of Economic Research, Inc.
  22. Brian D. Wright & Jeffrey C. Williams, 1982. "The Roles of Public and Private Storage in Managing Oil Import Disruptions," Bell Journal of Economics, The RAND Corporation, The RAND Corporation, vol. 13(2), pages 341-353, Autumn.
  23. Kenneth L. Judd, 1991. "Minimum weighted residual methods for solving aggregate growth models," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 49, Federal Reserve Bank of Minneapolis.
  24. Aiyagari, S. Rao & Gertler, Mark, 1991. "Asset returns with transactions costs and uninsured individual risk," Journal of Monetary Economics, Elsevier, Elsevier, vol. 27(3), pages 311-331, June.
  25. Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, Elsevier, vol. 58(2), pages 410-452, December.
  26. Sargent, Thomas J., 1980. ""Tobin's q" and the rate of investment in general equilibrium," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 12(1), pages 107-154, January.
  27. Gaspar, Jess & L. Judd, Kenneth, 1997. "Solving Large-Scale Rational-Expectations Models," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 1(01), pages 45-75, January.
  28. Wouter J. Den Haan, 1996. "Understanding Equilibrium Models with a Small and a Large Number of Agents," NBER Working Papers 5792, National Bureau of Economic Research, Inc.
  29. Kiyotaki, Nobuhiro & Moore, John, 1997. "Credit Cycles," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 105(2), pages 211-48, April.
  30. Lawrence J. Christiano & Terry J. Fitzgerald, 1989. "The magnitude of the speculative motive for holding inventories in a real business cycle model," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 10, Federal Reserve Bank of Minneapolis.
  31. Wouter J. den Haan & Albert Marcet, 1993. "Accuracy in simulations," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 42, Department of Economics and Business, Universitat Pompeu Fabra.
  32. Miranda, Mario J & Helmberger, Peter G, 1988. "The Effects of Commodity Price Stabilization Programs," American Economic Review, American Economic Association, American Economic Association, vol. 78(1), pages 46-58, March.
  33. Coleman Ii, Wilbur John, 1997. "Behavior Of Interest Rates In A General Equilibrium Multisector Model With Irreversible Investment," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 1(01), pages 206-227, January.
  34. Nicholas Ricketts & Thomas H. McCurdy, 1995. "An International Economy with Country-Specific Money and Productivity Growth Processes," Canadian Journal of Economics, Canadian Economics Association, Canadian Economics Association, vol. 28(s1), pages 141-162, November.
  35. Lawrence J. Christiano & Jonas D.M. Fisher, 1998. "Stock market and investment good prices: implications of macroeconomics," Working Paper Series, Federal Reserve Bank of Chicago WP-98-6, Federal Reserve Bank of Chicago.
  36. den Haan, Wouter J & Marcet, Albert, 1990. "Solving the Stochastic Growth Model by Parameterizing Expectations," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(1), pages 31-34, January.
  37. Paul Gomme, 1998. "Evolutionary programming as a solution technique for the Bellman equation," Working Paper 9816, Federal Reserve Bank of Cleveland.
  38. Marshall, David A, 1992. " Inflation and Asset Returns in a Monetary Economy," Journal of Finance, American Finance Association, American Finance Association, vol. 47(4), pages 1315-42, September.
  39. Aiyagari, S. Rao, 1994. "Frictions in asset pricing and macroeconomics," European Economic Review, Elsevier, Elsevier, vol. 38(3-4), pages 932-939, April.
  40. John B. Taylor & Harald Uhlig, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," NBER Working Papers 3117, National Bureau of Economic Research, Inc.
  41. Wouter J. den Haan & Garey Ramey & Joel Watson, 1997. "Job Destruction and Propagation of Shocks," NBER Working Papers 6275, National Bureau of Economic Research, Inc.
  42. Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, Elsevier, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729 Elsevier.
  43. Wilbur John Coleman II, 1988. "Money, interest, and capital in a cash-in-advance economy," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 323, Board of Governors of the Federal Reserve System (U.S.).
  44. Andrew Atkeson & Patrick J. Kehoe, 1993. "Industry evolution and transition: the role of information capital," Staff Report, Federal Reserve Bank of Minneapolis 162, Federal Reserve Bank of Minneapolis.
  45. Lucas, Deborah J., 1994. "Asset pricing with undiversifiable income risk and short sales constraints: Deepening the equity premium puzzle," Journal of Monetary Economics, Elsevier, Elsevier, vol. 34(3), pages 325-341, December.
  46. Gustafson, Robert L., 1958. "Carryover levels for grains: A method for determining amounts that are optimal under specified conditions," Technical Bulletins, United States Department of Agriculture, Economic Research Service 157231, United States Department of Agriculture, Economic Research Service.
  47. Danthine, Jean-Pierre & Donaldson, John B, 1981. "Stochastic Properties of Fast vs. Slow Growing Economies," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1007-33, June.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:nbr:nberte:0218. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.