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Discretization of Lévy semistationary processes with application to estimation

Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - School of Economics and Management, University of Aarhus - 2014

Motivated by the construction of the Itô stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. Moreover, we assess the accuracy of the method with a particular focus on integrating kernels with a singularity at...

Persistent link: https://www.econbiz.de/10010885056

Smolyak Method for Solving Dynamic Economic Models: Lagrange Interpolation, Anisotropic Grid and Adaptive Domain

Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei; … - Department of Economics, Brigham Young University - 2013

First, we propose a more e¢ cient implementation of the Smolyak method for inter- polation, 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...

Persistent link: https://www.econbiz.de/10011273939

Generational Risk–Is It a Big Deal?: Simulating an 80-Period OLG Model with Aggregate Shocks

Hasanhodzic, Jasmina; Kotlikoff, Laurence J. - Department of Economics, Brigham Young University - 2013

The theoretical literature on generational risk assumes that this risk is large and that the government can effectively … effectively banishes the dimensionality curse in models like ours. We find that intrinsic generational risk is quite small, that … government policies can produce generational risk, and that bond markets can help share generational risk. We also show that a …

Persistent link: https://www.econbiz.de/10011273953

Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models

Judd, Kenneth; Maliar, Lilia; Maliar, Serguei - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2011

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,...

Persistent link: https://www.econbiz.de/10009228750

Chapter 7. Numerical Methods for Large-Scale Dynamic Economic Models

Maliar, Lilia; Maliar, Serguei - In: Handbook of computational economics : volume 3, (pp. 325-477). 2014

We survey numerical methods that are tractable in dynamic economic models with a finite, large number of continuous state variables. (Examples of such models are new Keynesian models, life-cycle models, heterogeneous-agents models, asset-pricing models, multisector models, multicountry models,...

Persistent link: https://www.econbiz.de/10014025715

Stochastic simulation and dynamic properties of the new version of the Italian model

Bianchi, Carlo; Calzolari, Giorgio; Cleur, Eugene M.; … - Volkswirtschaftliche Fakultät, … - 1978

This paper describes the results of some stochastic simulation experiments performed on the most updated version of the Italian model. Due to a change in the income accounts system, the model has been completely reestimated using the new quarterly data. It consists of 128 equations, 50 of which...

Persistent link: https://www.econbiz.de/10008490464

Analisi e simulazione stocastica di un modello aggregato dell'economia italiana 1952-1971

Bianchi, Carlo; Calzolari, Giorgio; Ciriani, Tito A.; … - Volkswirtschaftliche Fakultät, … - 1976

Experiments of stochastic simulation on a macro model of the Italian economy; this paper describes the first results produced by the research team.

Persistent link: https://www.econbiz.de/10008532165

Forecast variance in simultaneous equation models: analytic and Monte Carlo methods

Bianchi, Carlo; Brillet, Jean-Louis; Calzolari, Giorgio; … - Volkswirtschaftliche Fakultät, … - 1987

Five alternative techniques have been applied to measure the degree of uncertainty associated with the forecasts produced by a macro-model of the French economy, the Mini-DMS developed at INSEE. They are bootstrap, analytic simulation on coefficients, Monte Carlo on coefficients, parametric...

Persistent link: https://www.econbiz.de/10008534218

Monte Carlo methods in econometrics: a package for the stochastic simulation

Bianchi, Carlo; Calzolari, Giorgio; Corsi, Paolo - Volkswirtschaftliche Fakultät, … - 1976

In this paper, a package implemented at the Scientific Center of IBM Italy in Pisa for the stochastic simulation of linear and non-linear econometric models is presented. After a survey on the adopted methodologies, the input requirements and the produced output are described in some details,...

Persistent link: https://www.econbiz.de/10008534538

Merging simulation and projection approaches to solve high-dimensional problems

Judd, Kenneth; Maliar, Lilia; Maliar, Serguei - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2012

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/10010615148