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Citations for "Comparing Solution Methods for Dynamic Equilibrium Economies"

by S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez

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  1. Karen A. Kopecky & Richard M. H. Suen, 2009. "Finite State Markov-Chain Approximations to Highly Persistent Processes," Working Papers 200904, University of California at Riverside, Department of Economics, revised May 2009.
  2. James B. Bullard & Aarti Singh, 2009. "Learning and the Great Moderation," Working Papers 2007-027, Federal Reserve Bank of St. Louis.
  3. Mario Padula, 2008. "An Approximate Consumption Function," CSEF Working Papers 199, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  4. Caldara, Dario & Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Yao, Wen, 2009. "Computing DSGE Models with Recursive Preferences," CEPR Discussion Papers 7312, C.E.P.R. Discussion Papers.
  5. Aldrich, Eric M. & Fernández-Villaverde, Jesús & Ronald Gallant, A. & Rubio-Ramírez, Juan F., 2011. "Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors," Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 386-393, March.
  6. Jesús Fernández-Villaverde, 2010. "The econometrics of DSGE models," SERIEs, Spanish Economic Association, vol. 1(1), pages 3-49, March.
  7. Paul Pichler, 2007. "On the accuracy of low-order projection methods," Economics Bulletin, AccessEcon, vol. 3(50), pages 1-8.
  8. Santos Monteiro, Paulo, 2008. "Family Labor Supply and Aggregate Saving," The Warwick Economics Research Paper Series (TWERPS) 875, University of Warwick, Department of Economics.
  9. Angelo M. Fasolo, 2011. "The Accuracy of Perturbation Methods to Solve Small Open Economy Models," Working Papers Series 262, Central Bank of Brazil, Research Department.
  10. S. Boragan Aruoba, 2004. "Data Uncertainty in General Equilibrium," Computing in Economics and Finance 2004 131, Society for Computational Economics.
  11. Judd, Kenneth L. & Maliar, Lilia & Maliar, Serguei & Valero, Rafael, 2014. "Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 92-123.
  12. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo Group Munich.
  13. Gianni Amisano & Oreste Tristani, 2007. "Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model," Working Paper Series 18-07, The Rimini Centre for Economic Analysis.
  14. Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Solving DSGE models with perturbation methods and a change of variables," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2509-2531, December.
  15. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2014. "Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate?," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  16. Rui Castro & Claudio Campanale & Gian Luca Clementi, 2007. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," 2007 Meeting Papers 503, Society for Economic Dynamics.
  17. Sanjay K. Chugh, 2005. "Optimal Inflation Persistence: Ramsey Taxation with Capital and Habits," Computing in Economics and Finance 2005 369, Society for Computational Economics.
  18. Evans, Martin D.D. & Hnatkovska, Viktoria, 2012. "A method for solving general equilibrium models with incomplete markets and many financial assets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1909-1930.
  19. Richard W. Evans & Kerk L. Phillips, 2012. "OLG Life Cycle Model Transition Paths: Alternate Model Forecast Method," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-04, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  20. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2010. "A Cluster-Grid Projection Method: Solving Problems with High Dimensionality," NBER Working Papers 15965, National Bureau of Economic Research, Inc.
  21. repec:ebl:ecbull:v:3:y:2007:i:50:p:1-8 is not listed on IDEAS
  22. Michael Creel & Dennis Kristensen, 2011. "Indirect likelihood inference," Working Papers 558, Barcelona Graduate School of Economics.
  23. Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," CEPR Discussion Papers 7813, C.E.P.R. Discussion Papers.
  24. John Stachurski, 2009. "Economic Dynamics: Theory and Computation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262012774, June.
  25. Willi Semmler & Lars Grüne & Marleen Stieler, 2013. "Using Nonlinear Model Predictive Control for Dynamic Decision Problems in Economics," EcoMod2013 5782, EcoMod.
  26. Cristina Arellano & Lilia Maliar & Serguei Maliar & Viktor Tsyrennikov, 2014. "Envelope Condition Method with an Application to Default Risk Models," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-04, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  27. Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia.
  28. Jesús Fernández-Villaverde, 2008. "Horizons of Understanding: A Review of Ray Fair's Estimating How the Macroeconomy Works," Journal of Economic Literature, American Economic Association, vol. 46(3), pages 685-703, September.
  29. Jesus Fernandez-Villaverde & Juan Francisco Rubio-Ramírez, 2003. "Some results on the solution of the neoclassical growth model," Working Paper 2003-34, Federal Reserve Bank of Atlanta.
  30. Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Technical Appendices 11-84, Review of Economic Dynamics.
  31. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  32. Dario Caldara & Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez & Yao Wen, 2012. "Computing DSGE models with recursive preferences and stochastic volatility," Finance and Economics Discussion Series 2012-04, Board of Governors of the Federal Reserve System (U.S.).
  33. Yifan Hu & Timothy Kam, 2006. "Ramsey Fiscal And Monetary Policy Under Sticky Prices And Liquid Bonds," ANU Working Papers in Economics and Econometrics 2006-472, Australian National University, College of Business and Economics, School of Economics.
  34. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2007. "RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence," Reserve Bank of New Zealand Discussion Paper Series DP2007/15, Reserve Bank of New Zealand.
  35. Maximiliano Dvorkin, 2013. "Sectoral Shocks, Reallocation and Unemployment in a Model of Competitive Labor Markets," 2013 Meeting Papers 1229, Society for Economic Dynamics.
  36. Manuel S. Santos & Adrian Peralta-Alva, 2012. "Analysis of Numerical Errors," Working Papers 2012-6, University of Miami, Department of Economics.
  37. Bidder, R.M. & Smith, M.E., 2012. "Robust animal spirits," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 738-750.
  38. Dieppe, Alistair & González Pandiella, Alberto & Willman, Alpo, 2011. "The ECB's New Multi-Country Model for the euro area: NMCM - simulated with rational expectations," Working Paper Series 1315, European Central Bank.
  39. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach," PIER Working Paper Archive 04-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  40. Kevin Salyer & Victor Dorofeenko & Gabriel Lee, 2005. "A New Algorithm for Solving Dynamic Stochastic Macroeconomic Models," Working Papers 62, University of California, Davis, Department of Economics.
  41. Christophe Gouel, 2013. "Comparing Numerical Methods for Solving the Competitive Storage Model," Computational Economics, Society for Computational Economics, vol. 41(2), pages 267-295, February.
  42. Pablo Guerron & Martin Uribe & Juan Rubio-Ramirez & Jesus Fernandez-Villaverde, 2010. "Risk Matters: The Real Effects of Volatility Shocks," 2010 Meeting Papers 281, Society for Economic Dynamics.
  43. Michael Creel & Dennis Kristensen, 2013. "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers 931.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  44. Babus, Ana & de Vries, Casper G., 2010. "Global stochastic properties of dynamic models and their linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 817-824, May.
  45. Alexander Ludwig & Matthias Schön, 2013. "Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods," Working Paper Series in Economics 65, University of Cologne, Department of Economics, revised 11 Jun 2014.
  46. Burkhard Heer & Alfred Maussner, 2008. "Value Function Iteration as a Solution Method for the Ramsey Model," CESifo Working Paper Series 2278, CESifo Group Munich.
  47. Min Ouyang, 2006. "Plant Life Cycle and Aggregate Employment Dynamics," Working Papers 050632, University of California-Irvine, Department of Economics.
  48. repec:dgr:uvatin:2010081 is not listed on IDEAS
  49. Klaus Adam & Johannes Beutel & Albert Marcet, 2014. "Stock Price Booms and Expected Capital Gains," Working Papers 757, Barcelona Graduate School of Economics.
  50. Tille, Cédric & van Wincoop, Eric, 2014. "Solving DSGE portfolio choice models with dispersed private information," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 1-24.
  51. Feigenbaum, James, 2005. "Second-, third-, and higher-order consumption functions: a precautionary tale," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1385-1425, August.
  52. Manoj Atolia & Santanu Chatterjee & Stephen J. Turnovsky, 2008. "How Misleading is Linearization? Evaluating the Dynamics of the Neoclassical Growth Model," Working Papers wp2008_11_01, Department of Economics, Florida State University, revised Sep 2008.
  53. Todd B. Walker & Alexander W. Richter & Nathaniel A. Throckmorton, 2014. "Accuracy, Speed and Robustness of Policy Function Iteration," Auburn Economics Working Paper Series auwp2014-08, Department of Economics, Auburn University.
  54. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "How Structural Are Structural Parameters?," NBER Working Papers 13166, National Bureau of Economic Research, Inc.
  55. Steve Ambler & Florian Pelgrin, 2007. "Time-Consistent Control in Non-Linear Models," Working Papers 07-3, Bank of Canada.
  56. Andrew Foerster & Juan Rubio-Ramirez & Dan Waggoner & Tao Zha, 2013. "Perturbation methods for Markov-switching DSGE model," Research Working Paper RWP 13-01, Federal Reserve Bank of Kansas City.
  57. Barillas, Francisco & Fernandez-Villaverde, Jesus, 2007. "A generalization of the endogenous grid method," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2698-2712, August.
  58. S. Boragan Aruoba & Christopher J. Waller & Randall Wright, 2009. "Money and capital: a quantitative analysis," Working Papers 2009-031, Federal Reserve Bank of St. Louis.
  59. Min Ouyang, 2005. "The Scarring Effect of Recessions," Computing in Economics and Finance 2005 205, Society for Computational Economics.
  60. Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2007. "Asset pricing implications of a New Keynesian model," Bank of England working papers 326, Bank of England.
  61. Burkhard Heer & Alfred Maußner, 2009. "Education Briefing: Computation of business-cycle models with the Generalized Schur method," Indian Growth and Development Review, Emerald Group Publishing, vol. 2(2), pages 173-182, September.
  62. S. Boragan Aruoba & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2003. "Comparing Solution Methods for Dynamic Equilibrium Economies," PIER Working Paper Archive 04-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  63. Juha Seppala & Federico Ravenna, 2007. "Monetary Policy, Expected Inflation, and Inflation Risk Premium," 2007 Meeting Papers 513, Society for Economic Dynamics.
  64. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
  65. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," CEPR Discussion Papers 5513, C.E.P.R. Discussion Papers.
  66. Eric T. Swanson, 2013. "Implications of labor market frictions for risk aversion and risk premia," Working Paper Series 2013-30, Federal Reserve Bank of San Francisco.
  67. Michel Juillard & Tarik Ocaktan, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," Économie et Prévision, Programme National Persée, vol. 183(2), pages 115-126.
  68. Lester, Robert & Pries, Michael & Sims, Eric, 2014. "Volatility and welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 17-36.
  69. José Cao-Alvira, 2010. "Finite Elements in the Presence of Occasionally Binding Constraints," Computational Economics, Society for Computational Economics, vol. 35(4), pages 355-370, April.
  70. Thomas Flury & Neil Shephard, 2008. "Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models," OFRC Working Papers Series 2008fe32, Oxford Financial Research Centre.
  71. Martin M. Andreasen & Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2013. "The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications," NBER Working Papers 18983, National Bureau of Economic Research, Inc.
  72. Pontus Rendahl, 2013. "Inequality Constraints and Euler Equation based Solution Methods," Cambridge Working Papers in Economics 1320, Faculty of Economics, University of Cambridge.
  73. Maliar, Lilia & Maliar, Serguei, 2013. "Envelope condition method versus endogenous grid method for solving dynamic programming problems," Economics Letters, Elsevier, vol. 120(2), pages 262-266.
  74. Olaf Posch & Timo Trimborn, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Economics Working Papers 2010-08, School of Economics and Management, University of Aarhus.
  75. Baltasar Manzano & Luis Rey, 2012. "The Welfare Cost of Energy Insecurity," Working Papers fa07-2012, Economics for Energy.
  76. Lilia Maliar & Serguei Maliar & Sébastien Villemot, 2013. "Taking Perturbation to the Accuracy Frontier: A Hybrid of Local and Global Solutions," Computational Economics, Society for Computational Economics, vol. 42(3), pages 307-325, October.
  77. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  78. Manuel S. Santos & Adrian Peralta-Alva, 2003. "Accuracy of Simulations for Stochastic Dynamic Models," Levine's Bibliography 666156000000000264, UCLA Department of Economics.
  79. John Stachurski, 2006. "Continuous State Dynamic Programming via Nonexpansive Approximation," Department of Economics - Working Papers Series 961, The University of Melbourne.
  80. David R.F. Love, 2008. "A Note on the Accuracy of Extended-Path Solution Methods for Dynamic General Equilibrium Economies," Working Papers 0801, Brock University, Department of Economics, revised Apr 2008.
  81. Willi Semmler & Stephanie Becker & Lars Gruene, 2006. "Comparing Accuracy of Second Order Approximation and Dynamic Programming," Computing in Economics and Finance 2006 469, Society for Computational Economics.
  82. David R.F. Love, 2010. "Revisiting deterministic extended-path: a simple and accurate solution method for macroeconomic models," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 309-316.
  83. Viktor Winschel & Markus Krätzig, 2008. "Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality," SFB 649 Discussion Papers SFB649DP2008-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  84. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Solving DSGE models with a nonlinear moving average," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2643-2667.
  85. Edward S. Knotek II & Stephen Terry, 2008. "Alternative methods of solving state-dependent pricing models," Research Working Paper RWP 08-10, Federal Reserve Bank of Kansas City.
  86. Pál, Jenő & Stachurski, John, 2013. "Fitted value function iteration with probability one contractions," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 251-264.
  87. repec:dgr:uvatin:2013062 is not listed on IDEAS
  88. Eric Swanson & Gary Anderson & Andrew Levin, 2006. "Higher-order perturbation solutions to dynamic, discrete-time rational expectations models," Working Paper Series 2006-01, Federal Reserve Bank of San Francisco.
  89. repec:dgr:uvatin:20130062 is not listed on IDEAS
  90. Christoph Görtz & Afrasiab Mirza, 2014. "On the Applicability of Global Approximation Methods for Models with Jump Discontinuities in Policy Functions," CESifo Working Paper Series 4837, CESifo Group Munich.
  91. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez, 2006. "The Research Agenda: Jesus Fernandez-Villaverde and Juan F. Rubio-Ramirez on Estimating DSGE Models," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 8(1), November.
  92. Pichler, Paul & Sorger, Gerhard, 2009. "Wealth distribution and aggregate time-preference: Markov-perfect equilibria in a Ramsey economy," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 1-14, January.
  93. Moody Chu & Chun-Hung Kuo & Matthew Lin, 2013. "Tensor Spline Approximation in Economic Dynamics with Uncertainties," Computational Economics, Society for Computational Economics, vol. 42(2), pages 175-198, August.
  94. Grey Gordon, 2011. "Computing Dynamic Heterogeneous-Agent Economies: Tracking the Distribution," PIER Working Paper Archive 11-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  95. Viktors Ajevskis, 2013. "Non-Local Solutions to Dynamic Equilibrium Models: the Approximate Stable Manifolds Approach," Working Papers 2013/03, Latvijas Banka.
  96. Gianni Amisano & Oreste Tristani, 2006. "Euro area inflation persistence in an estimated nonlinear," Computing in Economics and Finance 2006 347, Society for Computational Economics.
  97. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2011. "How to Solve Dynamic Stochastic Models Computing Expectations Just Once," NBER Working Papers 17418, National Bureau of Economic Research, Inc.
  98. Juan F. Rubio-Ramirez & Jesus Fernández-Villaverde, 2005. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 891-910.
  99. Pichler, Paul, 2011. "Solving the multi-country Real Business Cycle model using a monomial rule Galerkin method," Journal of Economic Dynamics and Control, Elsevier, vol. 35(2), pages 240-251, February.
  100. Castillo, Paul & Montoro, Carlos & Tuesta, Vicente., 2010. "Inflation, Oil Price Volatility and Monetary Policy," Working Papers 2010-002, Banco Central de Reserva del Perú.
  101. Juillard, Michel & Villemot, Sébastien, 2011. "Multi-country real business cycle models: Accuracy tests and test bench," Journal of Economic Dynamics and Control, Elsevier, vol. 35(2), pages 178-185, February.
  102. Paul Pichler, 2005. "Evaluating Approximate Equilibria of Dynamic Economic Models," Vienna Economics Papers 0510, University of Vienna, Department of Economics.
  103. David R.F. Love, 2009. "Accuracy of Deterministic Extended-Path Solution Methods for Dynamic Stochastic Optimization Problems in Macroeconomics," Working Papers 0907, Brock University, Department of Economics.
  104. Hintermaier, Thomas & Koeniger, Winfried, 2010. "The method of endogenous gridpoints with occasionally binding constraints among endogenous variables," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2074-2088, October.
  105. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  106. Mário Amorim Lopes & Fernando A. C. C. Fontes & Dalila A. C. C. Fontes, 2013. "Optimal Control of Infinite-Horizon Growth Models — A direct approach," FEP Working Papers 506, Universidade do Porto, Faculdade de Economia do Porto.
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