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Méthodes de simulation des modèles stochastiques d'équilibre général

Michel Juillard () and Tarik Ocaktan

Economie & Prévision, 2008, vol. n° 183-184, issue 2, 115-126

Abstract: 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 perturbationmethod. Linearization, a very popular method in the literature, is presented as a special case of the perturbation method.

Keywords: DSGE; value-function iteration; projection; parameterized expectation approach; perturbation (search for similar items in EconPapers)
Date: 2008
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