IDEAS home Printed from https://ideas.repec.org/a/bes/jnlbes/v8y1990i1p1-17.html
   My bibliography  Save this article

Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods

Author

Listed:
  • Taylor, John B
  • Uhlig, Harald

Abstract

The purpose of this article is to report on a comparison of several alternative numerical solution techniques for nonlinear rational-expectations models. The comparison was made by asking individual researchers to apply their different solution techniques to a simple representative-agent, optimal, stochastic growth model. Decision rules as well as simulated time series are compared. The differences among the methods turned out to be quite substantial for certain aspects of the growth model. Therefore, researchers might want to be careful not to rely blindly on the results of any chosen numerical solution method in applied work.

Suggested Citation

  • Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
  • Handle: RePEc:bes:jnlbes:v:8:y:1990:i:1:p:1-17
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below 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.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Ingram, Beth Fisher, 1990. "Equilibrium Modeling of Asset Prices: Rationality versus Rules of Thumb," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 115-125, January.
    2. McGrattan, Ellen R, 1990. "Solving the Stochastic Growth Model by Linear-Quadratic Approximation," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 41-44, January.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    4. Sims, Christopher A, 1990. "Solving the Stochastic Growth Model by Backsolving with a Particular Nonlinear Form for the Decision Rule," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 45-47, January.
    5. Coleman, Wilbur John, II, 1990. "Solving the Stochastic Growth Model by Policy-Function Iteration," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 27-29, January.
    6. Baxter, Marianne & Crucini, Mario J & Rouwenhorst, K Geert, 1990. "Solving the Stochastic Growth Model by a Discrete-State-Space, Euler-Equation Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 19-21, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Maldonado, Wilfredo L. & Moreira, Humberto Luiz Ataíde, 2006. "Solving Euler Equations: Classical Methods and the C^1 Contraction Mapping Method Revisited," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
    2. S. Sirakaya & Stephen Turnovsky & M. Alemdar, 2006. "Feedback Approximation of the Stochastic Growth Model by Genetic Neural Networks," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 185-206, May.
    3. William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 1996. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," Econometrics 9602003, University Library of Munich, Germany.
    4. Wilfredo Leiva Maldonado & Benar Fux Svaiter, 2001. "On the accuracy of the estimated policy function using the Bellman contraction method," Economics Bulletin, AccessEcon, vol. 3(15), pages 1-8.
    5. Zhang, Harold H., 2000. "Explaining bond returns in heterogeneous agent models: The importance of higher-order moments," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1381-1404, September.
    6. repec:ebl:ecbull:v:3:y:2003:i:1:p:1-14 is not listed on IDEAS
    7. Anagnostopoulos Alexis & Tang Xin, 2015. "Evaluating linear approximations in a two-country model with occasionally binding borrowing constraints," The B.E. Journal of Macroeconomics, De Gruyter, vol. 15(1), pages 1-49, January.
    8. Maldonado, Wilfredo L. & Svaiter, B.F., 2007. "Holder continuity of the policy function approximation in the value function approximation," Journal of Mathematical Economics, Elsevier, vol. 43(5), pages 629-639, June.
    9. Kenneth L. Judd, 1991. "Minimum weighted residual methods for solving aggregate growth models," Discussion Paper / Institute for Empirical Macroeconomics 49, Federal Reserve Bank of Minneapolis.
    10. Covas, Francisco, 2006. "Uninsured idiosyncratic production risk with borrowing constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2167-2190, November.
    11. S. Arunachalam & Sridhar N. Ramaswami & Pol Herrmann & Doug Walker, 2018. "Innovation pathway to profitability: the role of entrepreneurial orientation and marketing capabilities," Journal of the Academy of Marketing Science, Springer, vol. 46(4), pages 744-766, July.
    12. Jang, Heesun & Du, Xiaodong, 2013. "Price- and Policy-Induced Innovations: The Case of U.S. Biofuel," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 38(3), pages 1-13.
    13. Timothy Erickson & Toni M. Whited, 2000. "Measurement Error and the Relationship between Investment and q," Journal of Political Economy, University of Chicago Press, vol. 108(5), pages 1027-1057, October.
    14. Paul W. Miller & Barry R. Chiswick, 2002. "Immigrant earnings: Language skills, linguistic concentrations and the business cycle," Journal of Population Economics, Springer;European Society for Population Economics, vol. 15(1), pages 31-57.
    15. Michael K Andersson & Ted Aranki & André Reslow, 2017. "Adjusting for information content when comparing forecast performance," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(7), pages 784-794, November.
    16. Fors, Gunnar & Zejan, Mario, 1996. "Overseas R&D by Multinationals in foreign Centers of Excellence," SSE/EFI Working Paper Series in Economics and Finance 111, Stockholm School of Economics.
    17. Küçük, Ugur N., 2009. "Emerging Market Local Currency Bond Market, Too Risky to Invest?," MPRA Paper 21878, University Library of Munich, Germany.
    18. Rodrigo M. S. Moita & Claudio Paiva, 2013. "Political Price Cycles in Regulated Industries: Theory and Evidence," American Economic Journal: Economic Policy, American Economic Association, vol. 5(1), pages 94-121, February.
    19. Akbar Ullah & Ejaz Ghani & Attiya Y. Javed, 2013. "Market Power and Industrial Performance in Pakistan," PIDE-Working Papers 2013:88, Pakistan Institute of Development Economics.
    20. Lauren Bin Dong, 2004. "Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach," Econometrics Working Papers 0405, Department of Economics, University of Victoria.
    21. Butler, Marty & Leone, Andrew J. & Willenborg, Michael, 2004. "An empirical analysis of auditor reporting and its association with abnormal accruals," Journal of Accounting and Economics, Elsevier, vol. 37(2), pages 139-165, June.

    More about this item

    Lists

    This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:
    1. Quantitative Macroeconomics and Real Business Cycles (QM&RBC)

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:8:y:1990:i:1:p:1-17. 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: . General contact details of provider: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main .

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main .

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.