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

Kenneth Judd, Lilia Maliar and Serguei Maliar

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: We use the stochastic simulation algorithm, described in Judd, Maliar and Maliar (2009), and the cluster-grid algorithm, developed in Judd, Maliar and Maliar (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)
JEL-codes: C63 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2011-01
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-opm
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Citations: View citations in EconPapers (34)

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http://www.ivie.es/downloads/docs/wpasad/wpasad-2011-01.pdf Fisrt version / Primera version, 2011 (application/pdf)

Related works:
Journal Article: 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:ivi:wpasad:2011-01

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