A nonlinear certainty equivalent approximation method for dynamic stochastic problems

DOI10.3982/QE533MaRDI QIDQ4586304zbMATH OpenFDO

Authors Yongyang Cai, Kenneth L. Judd, Jevgenijs Steinbuks

Publication date 12 September 2018

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 3.0 Unported

zbMATH Keywords

competitive equilibriumparallel computingreal business cycle modelsparse grid approximationnew Keynesian DSGE model

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Dynamic stochastic general equilibrium theory (91B51)

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(3)

• Using a hyperbolic cross to solve non-linear macroeconomic models
• A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems
• Solving nonlinear dynamic stochastic models: an algorithm computing value function by simulations

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