This paper is concerned with accuracy properties of simulations of approximate solutions for stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a generalized law of large numbers. We then show that the statistics generated by any sufficiently...

This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the researcher can only evaluate an approximated likelihood associated with the approximated policy...

In this paper, the authors develop a discretized version of the dynamic programming algorithm and study its convergence and stability properties. They show that the computed value function converges quadratically to the true value function and that the computed value function converges linearly,...

This paper provides a fairly systematic study of rational asset pricing bubbles in an intertemporal competitive equilibrium framework that allows for incomplete markets, productive assets, borrowing limits, and incomplete participation of agents in markets. The main results are concerned with...