Dynamic programming with continuous choice variables generally assumes compact search spaces. Collapsing disjoint n-dimensional bubbles within the space, creating and indexing new bubbles as needed, pushes back the "curse of dimensionality." An animal-breeding optimization is used as an example....

Solow and Hahn proposed an overlapping generations model in 1995 with which to criticize rational expectations. The agents have perfect foresight, but are subjected to an unanticipated shock in the population. The authors showed that the economy couldn't return to the steady state without...

The paper proposes a method that solves the non-monotonic power problem of a family of structural changes in mean tests based on an orthonormal series filtering of the error process before estimating variance of the test statistics. This method yields a consistent estimator for the variance...

Finance models of the term structure of interest rates have for a long time relied on unobserved factors as explanatory variables. In a seminal paper, Ang and Piazzesi (2003) have examined the potential role of macroeconomic variables in explaining the term structure. They, and subsequent...

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...

The Local Scale Model of Shephard (1994) is a state-space model of volatility clustering similar in effect to IGARCH, but with an unobserved volatility that realistically evolves independently of the observed errors, instead of being mechanically determined by them. It has one fewer parameter to...

In impulse response analysis the construction of intervals for the response at a particular time is a familiar topic. This paper considers the construction of confidence bands for the path of reponses. It investigates the feasibility of procedures based on heuristic optimisation methods for...

We show how datasets on heterogeneous individuals, making discrete supply and demand decisions, can be rigorously linked/aggregated into an applied GE model. We illustrate this on labor supply in an OLG model in an ageing context