IDEAS home Printed from https://ideas.repec.org/c/dge/qmrbcd/202.html
 

EDS code for new Keynesian model with ZLB in "Merging Simulation and Projection Aproaches to Solve High-Dimensional Problems with an Application to a New Keynesian model"

Author

Listed:
  • Lilia Maliar

    (University of Alicante)

  • Serguei Maliar

    (University of Alicante)

Abstract

We introduce an algorithm for solving dynamic economic models that merges stochastic simulation and projection approaches: we use simulation to approximate the ergodic measure of the solution, we construct a fixed grid covering the support of the constructed ergodic measure, and we use projection techniques to accurately solve the model on that grid. The grid construction is the key novel piece of our analysis: we select an ε-distinguishable subset of simulated points that covers the support of the ergodic measure roughly uniformly. The proposed algorithm is tractable in problems with high dimensionality (hundreds of state variables) on a desktop computer. As an illustration, we solve one- and multicountry neoclassical growth models and a large-scale new Keynesian model with a zero lower bound on nominal interest rates.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Lilia Maliar & Serguei Maliar, 2015. "EDS code for new Keynesian model with ZLB in "Merging Simulation and Projection Aproaches to Solve High-Dimensional Problems with an Application to a New Keynesian model"," QM&RBC Codes 202, Quantitative Macroeconomics & Real Business Cycles.
  • Handle: RePEc:dge:qmrbcd:202
    as

    Download full text from publisher

    File URL: http://dge.repec.org/codes/maliar/EDSCGA_Maliars_QE6_2015.zip
    Download Restriction: no

    Other versions of this item:

    More about this item

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

    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:dge:qmrbcd:202. 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: (Christian Zimmermann). General contact details of provider: http://edirc.repec.org/data/efrblus.html .

    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 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.

    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.