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Algorithms for solving dynamic models with occasionally binding constraints

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  • Lawrence J. Christiano
  • Jonas D. M. Fisher

Abstract

We describe and compare several algorithms for approximating the solution to a model in" which inequality constraints occasionally bind. Their performance is evaluated and compared" using various parameterizations of the one sector growth model with irreversible investment. We" develop parameterized expectation algorithms which, on the basis of speed convenience of implementation, appear to dominate the other algorithms."
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Suggested Citation

  • Lawrence J. Christiano & Jonas D. M. Fisher, 1994. "Algorithms for solving dynamic models with occasionally binding constraints," Working Paper Series, Macroeconomic Issues 94-6, Federal Reserve Bank of Chicago.
    • Handle: RePEc:fip:fedhma:94-6
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    Keywords

    Econometrics;

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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