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Discrete State-Space Methods for the Study of Dynamic Economies

Author

Listed:
  • Craig Burnside

Programming Language

Matlab

Abstract

This code supports the text in Craig Burnside, Discrete State-Space Methods for the Study of Dynamic Economies, in Ramon Marimon and Andrew Scott (eds), Computational Methods for the Study of Dynamic Economies, Chapter 5, Oxford University Press. Non-linear models with a finite numbers of states can be solved exactly with discrete state-space methods. They are also an excellent approximation to models with a continuous state space. The software is described in paragraph 6 of the chapter. Two programs solve the asset pricing model with i.i.d shocks (apiid.m) and serially correlated shocks (apsco.m). Two other programs solve the one-sector growth model with the "Tauchen" (grtauch.m) and the "Baxter" (grbcr.m) methods. The other files are subroutines.

Suggested Citation

  • Craig Burnside, 1998. "Discrete State-Space Methods for the Study of Dynamic Economies," QM&RBC Codes 125, Quantitative Macroeconomics & Real Business Cycles.
    • Handle: RePEc:dge:qmrbcd:125
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    File URL: https://dge.repec.org/codes/marimon-scott/Burnside98/
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    Citations

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    Cited by:

    1. Hugo Benitez-Silva, 2000. "A Dynamic Model of Labor Supply, Consumption/Saving, and Annuity Decisions under Uncertainty," Department of Economics Working Papers 00-06, Stony Brook University, Department of Economics.
    2. Karen Kopecky & Richard Suen, 2010. "Finite State Markov-chain Approximations to Highly Persistent Processes," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 701-714, July.
    3. Hugo Benitez-Silva, 2001. "A Dynamic Model of Job Search Behavior over the Life Cycle with Empirical Applications," Computing in Economics and Finance 2001 100, Society for Computational Economics.
    4. Lars Grüne & Willi Semmler, 2007. "Asset pricing with dynamic programming," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 233-265, May.
    5. Willi Semmler & Lars Grüne, 2004. "Asset Pricing with Delayed Consumption Decisions," Computing in Economics and Finance 2004 59, Society for Computational Economics.
    6. Gonzalez-Astudillo, Manuel, 2009. "An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play," MPRA Paper 19153, University Library of Munich, Germany.
    7. Hugo Benítez-Silva, 2003. "The Annuity Puzzle Revisited," Working Papers wp055, University of Michigan, Michigan Retirement Research Center.
    8. Koeniger, Winfried, 2002. "The Dynamics of Market Insurance, Insurable Assets, and Wealth Accumulation," IZA Discussion Papers 615, Institute of Labor Economics (IZA).

    More about this item

    Keywords

    Matlab;

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