We have developed an agent-based computational model, extension of an analytical model1 that studies the structure of coalitions of B-to-C web sites, when Internet buyers incur search costs for finding the good that matches their preferences, and coalitions of sites reduce this cost through...

This paper provides formulae for computing perturbation method approximations of unconditional variances of variables in nonlinear DSGE models. Spurious higher order terms that creep into multi-step ahead forecasts can produce explosive time paths frustrating traditional approaches to estimating...

This paper characterizes the optimal long-run rate of inflation, consistent with an occasionally binding zero lower bound on nominal interest rates, in a stochastic New Keynesian sticky-price model calibrated to the U.S. economy. This may serve to inform discussions on the design of an...

Though multivariate GARCH models are widely used in empirical research, their computational aspects still represent a major hurdle, especially when these specifications are introduced in structural models. One such extension namely the simultaneous equations model (SEM) with GARCH errors was...

This paper studies a Monte Carlo algorithm for computing distributions of state variables when the underlying model is a Markov process. It is shown that the $L_1$ error of the estimator always converges to zero with probability one, and often at a parametric rate. A related technique for...

The paper deals with the efficient computation of general equilibrium models with a continuum of heterogenous agents. It compares an improved version of the Krusell-Smith algorithm to a backward-induction algorithm. The Krusell-Smith algorithm I use in the paper modifies the original algorithm...

This paper builds on our previous work that used a non linear stochastic dynamic programming problem to solve for the optimal level of phosphorus discharged into a watershed. Typically, there is a trade off between profits from agriculture and environmental damage due to excessive levels of...

Recently, there has been many applications of perturbation methods for solving stochastic dynamic general equilibrium models. However, in standard applications of the perturbation method, the Taylor expansion is always computed around the deterministic steady state. Because of nonlinearities,...

This paper is concerned with the pricing of European continuous-installment options where the aim is to determine the initial premium given the installment payments schedule. The particular feature of this pricing problem is the determination, along with the initial premium, of an optimal...

This paper shows how a high level matrix programming language may be used to perform Monte Carlo simulation, bootstrapping, estimation by maximum likelihood and GMM, and kernel regression in parallel on symmetric multiprocessor computers or clusters of workstations. The implementation of...