I present an undetermined coefficients method for obtaining a linear approximating to the solution of a dynamic, rational expectations model. I also show how that solution can be used to compute the model's implications for impulse response functions and for second moments

We describe and compare several algorithms for approximating the solution to a model in" which inequality constraints occasionally bind. Their performance is evaluated and compared" using various parameterizations of the one sector growth model with irreversible investment. We" develop...

Rules often are complex in order to distinguish different types of behavior that may have different consequences. Greater complexity thus allows better control of behavior. But individuals may need to incur costs ex ante to determine how more complex rules apply to their contemplated conduct....

The Time-Elimination Method for solving recursive dynamic economic models is described. By defining control-like and state-like variables, one can transform the equations of motion describing the economy's evolution through time into a system of differential equations that are independent of...

The purpose of this paper is to report on a comparison of several alternative numerical solution techniques for nonlinear rational expectations models. The comparison was made by asking individual researchers to apply their different solution techniques to a simple representative agent, optimal,...

This paper formulates a model of retirement behavior based on the solution to a stochastic dynamic programming problem. The workers objective is to maximize expected discounted utility over his remaining lifetime. At each time period the worker chooses how much to consume and whether to work...

The goal of this paper is to study the problem of optimal dynamic policy formulation with competing political parties. We study a general class of problems, in which the two competing political parties have quadratic intertemporal objective functions, and in which the economy has a linear...

We study the optimal pattern of outlays for a single firm pursuing an R&D program over time. In the deterministic case, (a) the amount of progress required to complete the project is known, and (b) the relationship between outlays and progress is known. In this case, it is optimal to increase...

When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in...

A new algorithm for the group minimization problem (GP) is proposed. The algorithm can be broadly described as follows. A suitable relaxation of(GP) is defined, in which any feasible point satisfies the group equation but may have negative components. The feasible points of the relaxation are...