| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21590 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w21590 |
| 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/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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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