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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)

Programming Language

Matlab

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
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    File URL: https://dge.repec.org/codes/maliar/EDSCGA_Maliars_QE6_2015.zip
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    Keywords

    Matlab;

    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

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