Algorithms for solving dynamic models with occasionally binding constraints
From MaRDI portal
We describe and compare several algorithms for approximating the solution to a model in which inequality constraints occasionally bind. Their performance is evaluated and compared using various parameterizations of the one sector growth model with irreversible investment. We develop parameterized expectation algorithms which, on the basis of speed, accuracy and convenience of implementation, appear to dominate the other algorithms.
Recommendations
- Finite elements in the presence of occasionally binding constraints
- Solution of continuous-time dynamic models with inequality constraints
- An envelope method for solving continuous-time stochastic models with occasionally binding constraints
- Computing equilibria in dynamic models with occasionally binding constraints
- The method of endogenous gridpoints with occasionally binding constraints among endogenous variables
Cites work
- Accuracy in Simulations
- Algorithms for solving dynamic models with occasionally binding constraints
- BEHAVIOR OF INTEREST RATES IN A GENERAL EQUILIBRIUM MULTISECTOR MODEL WITH IRREVERSIBLE INVESTMENT
- Communication, commitment, and growth
- EQUILIBRIUM ASSET PRICES AND SAVINGS OF HETEROGENEOUS AGENTS IN THE PRESENCE OF INCOMPLETE MARKETS AND PORTFOLIO CONSTRAINTS
- scientific article; zbMATH DE number 52448 (Why is no real title available?)
- scientific article; zbMATH DE number 1241609 (Why is no real title available?)
- scientific article; zbMATH DE number 1099381 (Why is no real title available?)
- scientific article; zbMATH DE number 274399 (Why is no real title available?)
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- Projection methods for solving aggregate growth models
- SOLVING DYNAMIC MODELS WITH AGGREGATE SHOCKS AND HETEROGENEOUS AGENTS
- SOLVING LARGE-SCALE RATIONAL-EXPECTATIONS MODELS
- Solving the stochastic growth model with a finite element method
- Stochastic Properties of Fast vs. Slow Growing Economies
- The cyclical behavior of job creation and job destruction : A sectoral model
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
- The term structure of interest rates in real and monetary economies
- Value function approximation in the presence of uncertainty and inequality constraints
Cited in
(42)- Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm
- Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions
- Algorithms for solving nonlinear dynamic decision models
- Solving the stochastic growth model with a finite element method
- Sources of asymmetry in production factor dynamics
- Algorithms for solving dynamic models with occasionally binding constraints
- Excess reserves and economic activity
- A quantitative analysis of optimal sustainable monetary policies
- Approximate dynamic programming with post-decision states as a solution method for dynamic economic models
- Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations
- Numerical solution of dynamic equilibrium models under Poisson uncertainty
- Computing equilibria in dynamic models with occasionally binding constraints
- Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
- Efficient solution and computation of models with occasionally binding constraints
- SVARs with occasionally-binding constraints
- An envelope method for solving continuous-time stochastic models with occasionally binding constraints
- Perturbation solution and welfare costs of business cycles in DSGE models
- Structural estimation of real options models
- Comparing accuracy of second-order approximation and dynamic programming
- Solution of continuous-time dynamic models with inequality constraints
- Asset pricing with dynamic programming
- COMPUTATION OF BUSINESS CYCLE MODELS: A COMPARISON OF NUMERICAL METHODS
- Temporal aggregation in a multi-sector economy with endogenous growth
- Approximating and simulating the stochastic growth model: Parameterized expectations, neural networks, and the genetic algorithm
- The method of endogenous gridpoints with occasionally binding constraints among endogenous variables
- Time-consistent control in nonlinear models
- Occasionally binding liquidity constraints and macroeconomic dynamics
- Numerical solution of dynamic quantile models
- Understanding liquidity shortages during severe economic downturns
- Solving the multi-country real business cycle model using ergodic set methods
- Solving the multi-country real business cycle model using a monomial rule Galerkin method
- A generalization of the parameterized expectations algorithm
- On non-existence of Markov equilibria in competitive-market economies
- Optimal credit market policy
- Parameterized expectations algorithm: how to solve for labor easily
- A foundation for the solution of consumption-saving behavior with a borrowing constraint and unbounded marginal utility
- Feedback approximation of the stochastic growth model by genetic neural networks
- A computational approach to liquidity-constrained firms over an infinite horizon
- Using parallelization to solve a macroeconomic model: A parallel parameterized expectations algorithm
- Comparing solution methods for dynamic equilibrium economies
- Finite elements in the presence of occasionally binding constraints
- A new algorithm for solving dynamic stochastic macroeconomic models
This page was built for publication: Algorithms for solving dynamic models with occasionally binding constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1575282)
