| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15026 |
| 来源ID | Working Paper 15026 |
| Computing DSGE Models with Recursive Preferences | |
| Dario Caldara; Jesús Fernández-Villaverde; Juan F. Rubio-Ramírez; Wen Yao | |
| 发表日期 | 2009-06-01 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991). Models with these preferences have recently become popular, but we know little about the best ways to implement them numerically. To fill this gap, we solve the stochastic neoclassical growth model with recursive preferences using four different approaches: second- and third-order perturbation, Chebyshev polynomials, and value function iteration. We document the performance of the methods in terms of computing time, implementation complexity, and accuracy. Our main finding is that a third-order perturbation is competitive in terms of accuracy with Chebyshev polynomials and value function iteration, while being an order of magnitude faster to run. Therefore, we conclude that perturbation methods are an attractive approach for computing this class of problems. |
| 主题 | Microeconomics ; Mathematical Tools ; Macroeconomics ; Business Cycles |
| URL | https://www.nber.org/papers/w15026 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572702 |
| 推荐引用方式 GB/T 7714 | Dario Caldara,Jesús Fernández-Villaverde,Juan F. Rubio-Ramírez,et al. Computing DSGE Models with Recursive Preferences. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15026.pdf（354KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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