A THEORY OF PRUNING

Giovanni Lombardo and Harald Uhlig ()

International Economic Review, 2018, vol. 59, issue 4, 1825-1836

Abstract: Often, numerical simulations for dynamic, stochastic models in economics are needed. Kim et al. (Journal of Economic Dynamics and Control 32 2008, 3397–414) proposed “pruning” to deal with the challenge of generating explosive paths when employing second‐order approximations. In this article, we provide a theory of pruning and formulas for pruning of any order. Our approach builds on Judd's Numerical Methods in Economics (1998), chapter 13. We provide a comparison to existing methods.

Date: 2018
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https://doi.org/10.1111/iere.12321

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Working Paper: A theory of pruning (2014)
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