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来源类型Working Paper
规范类型报告
DOI10.3386/w28502
来源IDWorking Paper 28502
A Simple but Powerful Simulated Certainty Equivalent Approximation Method for Dynamic Stochastic Problems
Yongyang Cai; Kenneth L. Judd
发表日期2021-03-01
出版年2021
语种英语
摘要We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that this method only requires a desktop computer to solve high-dimensional finite- or infinite-horizon, stationary or nonstationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. The SCEQ method is simple, stable, and efficient, which makes it suitable for solving complex economic problems that cannot be solved by other algorithms.
主题Microeconomics ; Mathematical Tools ; Macroeconomics ; Business Cycles ; Monetary Policy ; Environmental and Resource Economics ; Environment
URLhttps://www.nber.org/papers/w28502
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/586174
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Yongyang Cai,Kenneth L. Judd. A Simple but Powerful Simulated Certainty Equivalent Approximation Method for Dynamic Stochastic Problems. 2021.
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