-order perturbation method. The simulation results of impulse responses and second moments match the standardized features of incomplete … market models. Accuracy of the solution is in a reasonable range but significantly decreases when the economy is near the …

This paper describes in detail the algorithm implemented in Dynare for computing the first order approximated solution …

). To demonstrate the accuracy of QuadProgJ,comparative results are reported for a well-known suite of numerical QP test …

Dynare is a software platform for handling a wide class of economic models, in particular dynamic stochastic general … equilibrium (DSGE) and overlapping generations (OLG) models. The models solved by Dynare include those relying on the rational … expectations hypothesis, wherein agents form their expectations about the future in a way consistent with the model. But Dynare is …

-probability, high-impact events with accuracy and speed. We solve a standard New Keynesian model with Epstein-Zin preferences and time …-varying disaster risk with perturbation, Taylor projection, and Smolyak collocation. Our main finding is that Taylor projection … delivers the best accuracy/speed tradeoff among the tested solutions. We also document that even third-order perturbations may …

‐probability, high‐impact events with accuracy and speed. We solve a standard New Keynesian model with Epstein–Zin preferences and time …‐varying disaster risk with perturbation, Taylor projection, and Smolyak collocation. Our main finding is that Taylor projection … delivers the best accuracy/speed tradeoff among the tested solutions. We also document that even third‐order perturbations may …

techniques that increase the accuracy of perturbation methods: a change of variables and a hybrid of local and global solutions … condition methods that reduce the cost and increase accuracy of value function iteration. Third, we show precomputation …

solution accuracy of existing methods by orders of magnitude, while drastically simplifying the solution algorithm. The …