IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this software component

Projections Parameterized Expectations Algorithms (Matlab)

Listed author(s):
  • Christian Haefke

    (University of California, San Diego)

These programs use the techniques described in Ken Judd's 1992 "Journal of Economic Theory" article to solve the standard growth model using parameterized expectations. Another good reference for the solution methods used in these programs is the working paper "Algorithms for Solving Dynamic Models with Occasionally Binding Constraints" by Larry Christiano and Jonas Fisher. All algorithms have the following properties. 1. They use the tensor method to approximate the conditional expectation with orthogonal Chebyshev polynomials. 2. The coefficients of the approximating function are such that they minimize the distance between the approximating function and the numerically calculated conditional expectation at a set of grid points. 3. The grid points are Chebyshev nodes. 4. The numerical integration procedure used to calculate the conditional expectation is Hermite Gaussian Quadrature. In my experience it is easier to obtain an accurate solution fast with quadrature methods than with Monte Carlo methods. 5. The "iterative" programs iterate on a projection procedure to find the coefficients of the approximating function. 6. The "equation-solver" programs use a nonlinear equation solver to find the value of the coefficients at which the approximating function equal the numerically calculated conditional expectation. The included files are: "Iterative" PEA program (peaproi1.m), "Equation-Solver" PEA program (peapro1.m), Procedures to run MATLAB program (, executable zip file for DOS, Win31, Win 95, Win98, & WinNT), Procedures to run MATLAB program (newpealib.tar, tar-archive for UNIX, decompress using tar -xvf newpealib.tar).

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: program code
Download Restriction: none

Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 69.

in new window

Programming language: Matlab
Date of creation: Nov 1998
Handle: RePEc:dge:qmrbcd:69
Contact details of provider: Postal:
P.O. Box 442, St. Louis, MO 63166

Fax: (314)444-8753
Web page:

More information through EDIRC

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:dge:qmrbcd:69. 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)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.