Solving the multi-country real business cycle model using ergodic set methods

Serguei Maliar, Lilia Maliar and Kenneth Judd

Journal of Economic Dynamics and Control, 2011, vol. 35, issue 2, 207-228

Abstract: We use the stochastic simulation algorithm, described in Judd et al. (2009), and the cluster-grid algorithm, developed in Judd et al. (2010a), to solve a collection of multi-country real business cycle models. The following ingredients help us reduce the cost in high-dimensional problems: an endogenous grid enclosing the ergodic set, linear approximation methods, fixed-point iteration and efficient integration methods, such as non-product monomial rules and Monte Carlo integration combined with regression. We show that high accuracy in intratemporal choice is crucial for the overall accuracy of solutions and offer two approaches, precomputation and iteration-on-allocation, that can solve for intratemporal choice both accurately and quickly. We also implement a hybrid solution algorithm that combines the perturbation and accurate intratemporal-choice methods.

Keywords: Heterogeneous; agents; Numerical; methods; Stochastic; simulation; Parameterized; expectations; algorithm; Projection; Perturbation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (32)

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Related works:
Working Paper: Solving the multi-country real business cycle model using ergodic set methods (2011)
Working Paper: Solving the Multi-Country Real Business Cycle Model Using Ergodic Set Methods (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:35:y:2011:i:2:p:207-228

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