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Comparing solution methods for DSGE models with labor market search

Lan, Hong - 2014 - This Version: September 11, 2014

I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the Chebyshev polynomials as its basis, and the perturbation methods up to...

Persistent link: https://www.econbiz.de/10010405123

Computing DSGE Models with Recursive Preferences and Stochastic Volatility

Caldara, Dario - 2012

This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991) and stochastic volatility. Models with these two features have recently become popular,...

Persistent link: https://www.econbiz.de/10013111574

Value function iteration as a solution method for the Ramsey model

Heer, Burkhard; Maußner, Alfred - 2008

Value function iteration is one of the standard tools for the solution of the Ramsey model. We compare six different ways of value function iteration with regard to speed and precision. We find that value function iteration with cubic spline interpolation between grid points dominates the other...

Persistent link: https://www.econbiz.de/10010275799

Value Function Iteration as a Solution Method for the Ramsey Model

Heer, Burkhard; Maussner, Alfred - 2021

Persistent link: https://www.econbiz.de/10013316545

Solution methods for models with rare disasters

Fernández-Villaverde, Jesús; Levintal, Oren - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 903-944

This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the lines of those proposed by Rietz (1988), Barro (2006), Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require...

Persistent link: https://www.econbiz.de/10011994514

Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison

Cozzi, Marco - 2014

This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...

Persistent link: https://www.econbiz.de/10011380826

The Krusell-Smith Algorithm: Are Self-fulfilling Equilibria Likely?

Cozzi, Marco - 2014

I investigate whether the popular Krusell and Smith algorithm used to solve heterogeneousagent economies with aggregate … guess to compute the equilibrium with this algorithm. In a sequence of cases, differing only in the magnitude of the …-correcting mechanism present in the algorithm: compared to the equilibrium law of motion, a candidate one implying a higher (lower …

Persistent link: https://www.econbiz.de/10010368279

Adverse selection, risk sharing and business cycles

Veracierto, Marcelo - 2014

I consider a real business cycle model in which agents have private information about an idiosyncratic shock to their value of leisure. I consider the mechanism design problem for this economy and describe a computational method to solve it. This is an important contribution of the paper since...

Persistent link: https://www.econbiz.de/10011460676

The Krusell-Smith algorithm : are self-fulfilling equilibria likely?

Cozzi, Marco - 2014

Persistent link: https://www.econbiz.de/10010348847

Adverse selection, risk sharing and business cycles

Veracierto, Marcelo - 2014

Persistent link: https://www.econbiz.de/10010424280