Loading...
Please wait, while we are loading the content...
Similar Documents
How to solve dynamic stochastic models computing expectations just once: How to solve dynamic stochastic models
| Content Provider | Semantic Scholar |
|---|---|
| Author | Judd, Kenneth L. Maliar, Lilia Maliar, Serguei Tsener, Inna |
| Copyright Year | 2017 |
| Abstract | We introduce a computational technique—precomputation of integrals—that makes it possible to construct conditional expectation functions in dynamic stochastic models in the initial stage of a solution procedure. This technique is very general: it works for a broad class of approximating functions, including piecewise polynomials; it can be applied to both Bellman and Euler equations; and it is compatible with both continuous-state and discrete-state shocks. In the case of normally distributed shocks, the integrals can be constructed in a closed form. After the integrals are precomputed, we can solve stochastic models as if they were deterministic. We illustrate this technique using oneand multi-agent growth models with continuous-state shocks (and up to 60 state variables), as well as Aiyagari’s (1994) model with discrete-state shocks. Precomputation of integrals saves programming efforts, reduces computational burden, and increases the accuracy of solutions. It is of special value in computationally intense applications. MATLAB codes are provided. |
| Starting Page | 851 |
| Ending Page | 893 |
| Page Count | 43 |
| File Format | PDF HTM / HTML |
| DOI | 10.3982/QE329 |
| Volume Number | 8 |
| Alternate Webpage(s) | http://qeconomics.org/ojs/index.php/qe/article/downloadSuppFile/535/1785 |
| Alternate Webpage(s) | http://qeconomics.org/ojs/index.php/qe/article/viewFile/535/528 |
| Alternate Webpage(s) | https://stanford.edu/~maliarl/Files/NBER17418.pdf |
| Alternate Webpage(s) | http://stanford.edu/~maliars/Files/NBER17418.pdf |
| Alternate Webpage(s) | https://stanford.edu/~maliars/Files/JMMT2016.pdf |
| Alternate Webpage(s) | http://web.stanford.edu/~maliars/Files/NBER17418.pdf |
| Alternate Webpage(s) | http://www.stanford.edu/~maliars/Files/NBER17418.pdf |
| Alternate Webpage(s) | https://doi.org/10.3982/QE329 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
