Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models
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Other versions of this item:
- Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2011. "Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models," Quantitative Economics, Econometric Society, vol. 2(2), pages 173-210, July.
References listed on IDEAS
- Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, March.
More about this item
KeywordsStochastic simulation; generalized stochastic simulation algorithm (GSSA); parameterized expectations algorithm (PEA); least absolute deviations (LAD); linear programming; regularization.;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CMP-2011-08-09 (Computational Economics)
- NEP-DGE-2011-08-09 (Dynamic General Equilibrium)
- NEP-ORE-2011-08-09 (Operations Research)
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