This paper describes briefly main functionalities and exploited numerical methods of the package CompDTIMe which consists of several Matlab routines. This package allows one to calculate two-dimensional bifurcation diagrams, to find periodic points not depending on whether they are attracting,...

This paper describes in detail the algorithm implemented in Dynare for computing the first order approximated solution of a nonlinear rational expectations model. The core of the algorithm is a generalized Schur decomposition (also known as the QZ decomposition), as advocated by several authors...

Local (perturbation) methods compute solutions in one point and tend to deliver far lower accuracy levels than global solution methods. We develop a hybrid method that solves for some policy functions locally (using a perturbation method) and that solves for the other policy functions globally...

This paper introduces a numerical method for solving concave continuous state dynamic programming problems which is based on a pair of polyhedral approximations of concave functions. The method is globally convergent and produces computable upper and lower bounds on the value function which can...

We show that Australian options are equivalent to fixed or floating strike Asian options and consequently that by studying Asian options from the Australian perspective and vice versa, much can be gained. One specific application of this “Australian approach” leads to a natural dimension...

AMS classifications: 35R35; 60G40; 65D15; 90C33;

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...

Forecasting Populations (FPOP) is a microsimulation model (MSM) that is the demographic core of an extensible modeling framework. The framework, with FPOP at its core, enables the geospatial projection of a population under purely demographic processes or under the additional influence of...

Considers the solution of large systems of linear equations, such as those arising from a large linearized economic model. Recommends (a) that matrix inversion be avoided, in favour of LU methods; and (b) that sparsity in the system be exploited using special computer subroutines. Some examples...