Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/31371 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
Working Paper No. 06-2
Verlag: 
University of California, Department of Economics, Davis, CA
Zusammenfassung: 
We introduce a new algorithm that can be used to solve stochastic dynamic general equilibrium models. This approach exploits the fact that the equations defining equilibrium can be viewed as a set of differential algebraic equations in the neighborhood of the steady-state. Then a modified recursive upwind Gauss Seidel method can be used to determine the global solution. This method, within the context of a standard real business cycle model, is compared to projection, perturbation, and linearization approaches and demonstrated to be fast and globally accurate. This comparison is done within a discrete state setting with heteroskedasticity in the technology shocks. It is shown that linearization methods perform poorly in this environment even though the unconditional variance of shocks is relatively small.
JEL: 
C63
C68
E37
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
312.44 kB





Publikationen in EconStor sind urheberrechtlich geschützt.