Showing 1 - 9 of 9
In conventional stochastic simulation algorithms, Monte Carlo integration and curve fitting are merged together and implemented by means of regression. We perform a decomposition of the solution error and show that regression does a good job in curve fitting but a poor job in integration, which...
Persistent link: https://www.econbiz.de/10013131303
We use the stochastic simulation algorithm, described in Judd, Maliar and Maliar (2009), and the cluster-grid algorithm, developed in Judd, Maliar and Maliar (2010a), to solve a collection of multi-country real business cycle models. The following ingredients help us reduce the cost in...
Persistent link: https://www.econbiz.de/10013138774
We introduce a technique called "precomputation of integrals" that makes it possible to compute conditional expectations in dynamic stochastic models in the initial stage of the solution procedure. This technique can be applied to any set of equations that contains conditional expectations, in...
Persistent link: https://www.econbiz.de/10013119813
We introduce an algorithm for solving dynamic economic models that merges stochastic simulation and projection approaches: we use simulation to approximate the ergodic measure of the solution, we construct a fixed grid covering the support of the constructed ergodic measure, and we use...
Persistent link: https://www.econbiz.de/10013098481
We develop numerically stable stochastic simulation approaches for solving dynamic economic models. We rely on standard simulation procedures to simultaneously compute an ergodic distribution of state variables, its support and the associated decision rules. We differ from existing methods,...
Persistent link: https://www.econbiz.de/10013156682
We study a class of infinite-horizon nonlinear dynamic economic models in which preferences, technology and laws of motion for exogenous variables can change over time either deterministically or stochastically, according to a Markov process with time-varying transition probabilities, or both....
Persistent link: https://www.econbiz.de/10013022923
First, we propose a more efficient implementation of the Smolyak method for interpolation, namely, we show how to avoid costly evaluations of repeated basis functions in the conventional Smolyak formula. Second, we extend the Smolyak method to include anisotropic constructions; this allows us to...
Persistent link: https://www.econbiz.de/10013077561
We develop a projection method that can solve dynamic economic models with a large number of state variables. A distinctive feature of our method is that it operates on the ergodic set realized in equilibrium: we simulate a model, distinguish clusters on simulated series and use the clusters'...
Persistent link: https://www.econbiz.de/10013143770
During the recent economic crisis, when nominal interest rates were at their effective lower bounds, central banks used forward guidance announcements about future policy rates to conduct their monetary policy. Many policymakers believe that forward guidance will remain in use after the end of...
Persistent link: https://www.econbiz.de/10012866536