How to Solve Dynamic Stochastic Models Computing Expectations Just Once

Kenneth Judd, Lilia Maliar and Serguei Maliar

No 17418, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We introduce a technique called "precomputation of integrals" that makes it possible to compute conditional expectations in dynamic stochastic models in the initial stage of the solution procedure. This technique can be applied to any set of equations that contains conditional expectations, in particular, to the Bellman and Euler equations. After the integrals are precomputed, we can solve stochastic models as if they were deterministic. We illustrate the benefits of precomputation of integrals using one- and multi-agent numerical examples.

JEL-codes: C63 (search for similar items in EconPapers)
Date: 2011-09
New Economics Papers: this item is included in nep-cba, nep-dge and nep-ore
Note: EFG TWP
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Citations: View citations in EconPapers (7)

Published as Kenneth L. Judd & Lilia Maliar & Serguei Maliar & Inna Tsener, 2017. "How to solve dynamic stochastic models computing expectations just once," Quantitative Economics, vol 8(3), pages 851-893.

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