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Simulating computable overlapping generations models with TROLL

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  • Frédéric Docquier
  • Philippe Liégeois

Abstract

In this paper, we examine the performance of the TROLL stacked-time algorithm in the simulation of large scale overlapping generations (OLG) models. At each period of time, the number of equations is proportional to the individual length of lifetime. The model size and the data requirements may thus be very large. Given the repetitive structure of the equations, we show how TROLL specific macrocommands can be used to explode a generic version (in which the lifetime is parameterized) into a complete model. A similar technique applies to explode the initial dataset on the whole simulation horizon. The stability properties of the model are derived and the stacked-time algorithm performances are checked for a large scale model with endogenous labour supply and uncertain lifetime. It turns out that TROLL performances are very attractive even for a system of 300000 simultaneous equations. © 2004 Kluwer Academic Publishers.

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  • Frédéric Docquier & Philippe Liégeois, 2004. "Simulating computable overlapping generations models with TROLL," ULB Institutional Repository 2013/166319, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/166319
    Note: SCOPUS: ar.j
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    Cited by:

    1. Docquier, Frédéric & Liégeois, Philippe & Stijns, Jean-Philippe, 1999. "Comptabilité générationnelle et vieillissement démographique : les enseignements d’un modèle d’équilibre général calculable calibré pour la Belgique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 75(1), pages 333-356, mars-juin.
    2. Sabzalizad Honarvar , Sonia & Raghfar , Hossein & Mousavi , Mirhossein, 2017. "Macroeconomic and Welfare Effects of Parametric Pension Reform in Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(4), pages 455-479, October.

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