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Solving Nonlinear Dynamic Stochastic Models: An Algorithm Computing Value Functions By Simulations

  • Lilia Maliar

    ()

    (Universidad de Alicante)

  • Serguei Maliar

    (Universidad de Alicante)

This paper presents an algorithm for solving nonlinear dynamic stochastic models that computes value function by simulations. We argue that the proposed algorithm can be a useful alternative to the existing methods in some applications.

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File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2004-37.pdf
File Function: Fisrt version / Primera version, 2004
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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2004-37.

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Length: 15 pages
Date of creation: Oct 2004
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2004-37
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  1. David Andolfatto & Glenn M. MacDonald, 1998. "Technology Diffusion and Aggregate Dynamics," Working Papers 98005, University of Waterloo, Department of Economics, revised Jan 1998.
  2. Christiano, Lawrence J. & Fisher, Jonas D. M., 2000. "Algorithms for solving dynamic models with occasionally binding constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1179-1232, July.
  3. Lilia Maliar & Serguei Maliar, 2001. "Parametrized Expectations Algorithm And The Moving Bounds," Working Papers. Serie AD 2001-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  4. Marimon, Ramon & Scott, Andrew (ed.), 1999. "Computational Methods for the Study of Dynamic Economies," OUP Catalogue, Oxford University Press, number 9780198294979, March.
  5. Andolfatto, D. & MacDonald, G.M., 1995. "Technological Innovation, Diffusion, and Business Cycle Dynamics," Working Papers 9503, University of Waterloo, Department of Economics.
  6. Albert Marcet & Guido Lorenzoni, 1998. "The Parameterized Expectations Approach: Some Practical Issues," QM&RBC Codes 128, Quantitative Macroeconomics & Real Business Cycles.
  7. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, March.
  8. den Haan, Wouter J & Marcet, Albert, 1990. "Solving the Stochastic Growth Model by Parameterizing Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 31-34, January.
  9. repec:fth:simfra:95-08 is not listed on IDEAS
  10. Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729 Elsevier.
  11. Scott Freeman & Dong-Pyo Hong & Dan Peled, 1999. "Endogenous Cycles and Growth with Indivisible Technological Developments," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(2), pages 402-432, April.
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