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来源类型Working Paper
规范类型报告
DOI10.3386/w21590
来源IDWorking Paper 21590
A Nonlinear Certainty Equivalent Approximation Method for Dynamic Stochastic Problems
Yongyang Cai; Kenneth Judd; Jevgenijs Steinbuks
发表日期2015-09-28
出版年2015
语种英语
摘要This paper introduces a nonlinear certainty equivalent approximation method for dynamic stochastic problems. We first use a novel, stable and efficient method for computing the optimal policy functions for deterministic dynamic optimization problems, and then use them as certainty-equivalent approximations for the stochastic versions. Our examples demonstrate that it can be applied to solve high-dimensional problems with up to four hundred state variables with an acceptable accuracy. This method can also be applied to solve problems with inequality constraints that occasionally bind. These features make the nonlinear certainty equivalent approximation method suitable for solving complex economic problems, where other algorithms, such as log-linearization, fail or are far less tractable.
主题Microeconomics ; Mathematical Tools ; Macroeconomics ; Business Cycles ; Monetary Policy
URLhttps://www.nber.org/papers/w21590
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/579265
推荐引用方式
GB/T 7714
Yongyang Cai,Kenneth Judd,Jevgenijs Steinbuks. A Nonlinear Certainty Equivalent Approximation Method for Dynamic Stochastic Problems. 2015.
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