Arbeitspapier
A new algorithm for solving dynamic stochastic macroeconomic models
We introduce a new algorithm that can be used to solve stochastic dynamic general equilibrium models. This approach exploits the fact that the equations defining equilibrium can be viewed as a set of differential algebraic equations in the neighborhood of the steady-state. Then a modified recursive upwind Gauss Seidel method can be used to determine the global solution. This method, within the context of a standard real business cycle model, is compared to projection, perturbation, and linearization approaches and demonstrated to be fast and globally accurate. This comparison is done within a discrete state setting with heteroskedasticity in the technology shocks. It is shown that linearization methods perform poorly in this environment even though the unconditional variance of shocks is relatively small.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 06-2
- Klassifikation
-
Wirtschaft
Computational Techniques; Simulation Modeling
Computable General Equilibrium Models
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Salyer, Kevin D.
Dorofeenko, Victor
Lee, Gabriel
- Ereignis
-
Veröffentlichung
- (wer)
-
University of California, Department of Economics
- (wo)
-
Davis, CA
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Salyer, Kevin D.
- Dorofeenko, Victor
- Lee, Gabriel
- University of California, Department of Economics
Entstanden
- 2005
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