Methods for Simulating Stochastic General Equilibrium Models
Type de matériel :
TexteLangue : français Détails de publication : 2008.
Sujet(s) : Ressources en ligne : Abrégé : This paper presents the numerical methods commonly used today to solve dynamic stochastic general equilibrium (DSGE) models.We begin by introducing a canonical model of dynamic optimization, which is the crucial element in this approach.We then review value-function iteration, the projection method, the parameterized expectation approach (PEA), and the perturbation method. Linearization, a very popular method in the literature, is presented as a special case of the perturbation method.
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This paper presents the numerical methods commonly used today to solve dynamic stochastic general equilibrium (DSGE) models.We begin by introducing a canonical model of dynamic optimization, which is the crucial element in this approach.We then review value-function iteration, the projection method, the parameterized expectation approach (PEA), and the perturbation method. Linearization, a very popular method in the literature, is presented as a special case of the perturbation method.
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