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Comparing Solution Methods for Dynamic Equilibrium Economies

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Author Info
S. Boragan Aruoba () (Department of Economics, University of Maryland)
Jesus Fernandez-Villaverde () (Department of Economics, University of Pennsylvania)
Juan F. Rubio-Ramirez () (Federal Reserve Bank of Atlanta)

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Abstract

This paper compares solution methods for dynamic equilibrium economies. We compute and simulate the stochastic neoclassical growth model with leisure choice using Undetermined Coefficients in levels and in logs, Finite Elements, Chebyshev Polynomials, Second and Fifth Order Perturbations and Value Function Iteration for several calibrations. We document the performance of the methods in terms of computing time, implementation complexity and accuracy and we present some conclusions about our preferred approaches based on the reported evidence.

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Publisher Info
Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 04-003.

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Length: 76 pages
Date of creation: 23 Nov 2003
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Handle: RePEc:pen:papers:04-003

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Related research
Keywords: Dynamic Equilibrium Economies; Computational Methods; Linear and Nonlinear Solution Methods;

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Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C68 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computable General Equilibrium Models
E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation

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References listed on IDEAS
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