We develop numerically stable and accurate stochastic simulation approaches for solving dynamic economic models. First, instead of standard least-squares methods, we examine a variety of alternatives, including least-squares methods using singular value decomposition and Tikhonov regularization,...

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...

We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to implement, dominates conventional value function iteration and is comparable in accuracy and cost to Carroll’s (2005) endogenous grid method. Codes are available.

We assess gains from parallel computation on Backlight supercomputer. We find that information transfers are expensive. To make parallel computation efficient, a task per core must be sufficiently large, ranging from few seconds to one minute depending on the number of cores employed. For small...

This paper analyses the evaluation of the relative performance of a set of groups when their outcomes are defined in terms of categorical data and the groups’ members are heterogeneous. This type of problem has been dealt with in Herrero and Villar (2012) for the case of a homogenous...

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...

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...

This paper provides a criterion to evaluate the overall performance of a given number of groups whose members can be of different types, out of the analysis of their relative frequencies. Assuming that types can be ordered from best to worse, the starting point is that of dominance relations in...

A modifica.tion of the proportional solution for bargaining with claims problems is proposed. This solution is construct.ed by considering an endogenous reference point. Characterization results are provided when the feasible set is not necessarily convex.

A unified approach to the problems of bargaining with a reference point and of bargaining with claims is addressed. Then, two solutions are reexamined from this perspective: the lexicographic egalitarian and the lexicographic claim-egalitarian. New characterization results are also provided.