A Homotopy Approach to Solving Nonlinear Rational Expectation Problems

Mark Jensen

Computational Economics from University Library of Munich, Germany

Abstract: Many numerical methods have been developed in an attempt to find solutions to nonlinear rational expectations models. Because these algorithms are numerical in nature, they rely heavily on computing power and take sizeable cycles to solve. In this paper we present a numerical tool known as homotopy theory that can be applied to these methods. Homotopy theory reduces the computing time associated with an iterative algorithm by using a rational expectation problem with known solutions and transforming it into the problem at hand. If this transformation is preformed slowly, homotopy theory will also help the global convergence properties of the numerical algorithm. We apply homotopy theory to Den Haan and Marcet's Parameterized Expectation Approach to show how homotopies improves the computing speed and global convergence properties of this algorithm.

JEL-codes: C8 (search for similar items in EconPapers)
Pages: 24 pages
Date: 1995-06-07
Note: 24 pages, written in an implementation of TeX; binary PostScript file was FTP'ed.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/comp/papers/9506/9506002.pdf (application/pdf)
https://econwpa.ub.uni-muenchen.de/econ-wp/comp/papers/9506/9506002.ps.gz (application/postscript)

Related works:
Journal Article: A Homotopy Approach to Solving Nonlinear Rational Expectation Problems (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpco:9506002

Access Statistics for this paper

More papers in Computational Economics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).