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Reverse Shooting Made Easy: Solving for the Global Nonlinear Saddle Path

  • Manoj Atolia

    ()

    (Department of Economics, Florida State University)

  • Edward F. Buffie

    ()

    (Department of Economics, Indiana University)

We present the blueprints for a set of innovative reverse shooting algorithms that trap the global saddle path in systems with 2-4 state variables. The solution procedure is built around a new distance mapping and refined simplex algorithms. Since the algorithms are completely reliable and always work in the same way, we have been able to develop canned programs that solve for the global nonlinear saddle path in any model with 2-4 state variables. The programs are written in the spirit of plug and play: the user types in the equations of the model and then waits for the solution.

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File URL: ftp://econpapers.fsu.edu/RePEc/fsu/wpaper/wp2009_01_01.pdf
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File URL: ftp://econpapers.fsu.edu/RePEc/fsu/wpaper/wp2009_01_01.zip
File Function: Revised version, 2009-01
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Paper provided by Department of Economics, Florida State University in its series Working Papers with number wp2009_01_01.

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Length: 47
Date of creation: Aug 2004
Date of revision: Jan 2009
Handle: RePEc:fsu:wpaper:wp2009_01_01
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  1. Brunner, Martin & Strulik, Holger, 2002. "Solution of perfect foresight saddlepoint problems: a simple method and applications," Journal of Economic Dynamics and Control, Elsevier, vol. 26(5), pages 737-753, May.
  2. Atolia, Manoj & Buffie, Edward F., 2011. "Solving The Unit Root Problem In Models With An Exogenous World Market Interest Rate," Macroeconomic Dynamics, Cambridge University Press, vol. 15(05), pages 681-712, November.
  3. Manoj Atolia & Edward F. Buffie, 2007. "Smart Forward Shooting," Working Papers wp2008_04_01, Department of Economics, Florida State University, revised Apr 2008.
  4. Ric Herbert & Peter Stemp, 2003. "Exploiting Model Structure to Solve the Dynamics of a Macro Model," Computational Economics, Society for Computational Economics, vol. 21(3), pages 203-207, June.
  5. Mercenier, Jean & Michel, Philippe, 1994. "Discrete-Time Finite Horizon Appromixation of Infinite Horizon Optimization Problems with Steady-State Invariance," Econometrica, Econometric Society, vol. 62(3), pages 635-56, May.
  6. Herbert, Ric D. & Stemp, Peter J. & Griffiths, William E., 2005. "Assessing two common approaches for solving models with saddle-path instabilities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 69(1), pages 78-89.
  7. Judd, Kenneth L., 2002. "The parametric path method: an alternative to Fair-Taylor and L-B-J for solving perfect foresight models," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1557-1583, August.
  8. Lipton, David, et al, 1982. "Multiple Shooting in Rational Expectations Models [The Solution of Linear Difference Models under Rational Expectations]," Econometrica, Econometric Society, vol. 50(5), pages 1329-33, September.
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