On the accuracy of the estimated policy function using the Bellman contraction method
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Wilfredo L. Maldonado & Benar F. Svaiter, 2002. "On the accuracy of the estimated policy function using the Bellman contraction method," Computing in Economics and Finance 2002 30, Society for Computational Economics.
References listed on IDEAS
- Albert Marcet & David A. Marshall, 1994.
"Solving nonlinear rational expectations models by parameterized expectations: convergence to stationary solutions,"
Working Paper Series, Macroeconomic Issues
94-20, Federal Reserve Bank of Chicago.
- Albert Marcet & David A. Marshall, 1994. "Solving nonlinear rational expectations models by parameterized expectations: convergence to stationary solutions," Discussion Paper / Institute for Empirical Macroeconomics 91, Federal Reserve Bank of Minneapolis.
- Albert Marcet & David A. Marshall, 1994. "Solving nonlinear rational expectations models by parameterized expectations: Convergence to stationary solutions," Economics Working Papers 76, Department of Economics and Business, Universitat Pompeu Fabra.
- Tauchen, George, 1990. "Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 49-51, January.
- Coleman, Wilbur John, II, 1991.
"Equilibrium in a Production Economy with an Income Tax,"
Econometrica, Econometric Society, vol. 59(4), pages 1091-1104, July.
- Wilbur John Coleman, 1989. "Equilibrium in a production economy with an income tax," International Finance Discussion Papers 366, Board of Governors of the Federal Reserve System (U.S.).
- Baxter, Marianne & Crucini, Mario J & Rouwenhorst, K Geert, 1990. "Solving the Stochastic Growth Model by a Discrete-State-Space, Euler-Equation Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 19-21, January.
- Manuel S. Santos & Jesus Vigo-Aguiar, 1998. "Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models," Econometrica, Econometric Society, vol. 66(2), pages 409-426, March.
- Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December.
- Coleman, Wilbur John, II, 1990. "Solving the Stochastic Growth Model by Policy-Function Iteration," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 27-29, January.
- Christiano, Lawrence J, 1990. "Solving the Stochastic Growth Model by Linear-Quadratic Approximation and by Value-Function Iteration," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 23-26, January.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Maldonado, Wilfredo L. & Svaiter, B.F., 2007. "Holder continuity of the policy function approximation in the value function approximation," Journal of Mathematical Economics, Elsevier, vol. 43(5), pages 629-639, June.
- John Stachurski, 2008.
"Continuous State Dynamic Programming via Nonexpansive Approximation,"
Computational Economics, Springer;Society for Computational Economics, vol. 31(2), pages 141-160, March.
- John Stachurski, 2006. "Continuous State Dynamic Programming via Nonexpansive Approximation," Department of Economics - Working Papers Series 961, The University of Melbourne.
- John Stachurski, 2006. "Continuous State Dynamic Programming Via Nonexpansive Approximation," KIER Working Papers 618, Kyoto University, Institute of Economic Research.
- Maldonado, Wilfredo L. & Moreira, Humberto Luiz Ataíde, 2006. "Solving Euler Equations: Classical Methods and the C¹ Contraction Mapping Method Revisited," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
- Raahauge, Peter, 2006. "Upper Bounds on Numerical Approximation Errors," Working Papers 2004-4, Copenhagen Business School, Department of Finance.
- repec:ebl:ecbull:v:3:y:2003:i:1:p:1-14 is not listed on IDEAS
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Maldonado, Wilfredo L. & Svaiter, B.F., 2007. "Holder continuity of the policy function approximation in the value function approximation," Journal of Mathematical Economics, Elsevier, vol. 43(5), pages 629-639, June.
- Maldonado, Wilfredo L. & Moreira, Humberto Luiz Ataíde, 2006. "Solving Euler Equations: Classical Methods and the C¹ Contraction Mapping Method Revisited," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
- repec:ebl:ecbull:v:3:y:2003:i:1:p:1-14 is not listed on IDEAS
- Peter Woehrmann & Willi Semmler & Martin Lettau, "undated". "Nonparametric Estimation of the Time-varying Sharpe Ratio in Dynamic Asset Pricing Models," IEW - Working Papers 225, Institute for Empirical Research in Economics - University of Zurich.
- Datta, Manjira & Mirman, Leonard J. & Morand, Olivier F. & Reffett, Kevin L., 2005.
"Markovian equilibrium in infinite horizon economies with incomplete markets and public policy,"
Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 505-544, August.
- Manjira Datta & Leonard J. Mirman & Olivier F. Morand & Kevin L. Reffett, 2005. "Markovian Equilibrium in Infinite Horizon Economies with Incomplete Markets and Public Policy," Tinbergen Institute Discussion Papers 05-013/2, Tinbergen Institute.
- Manjira Datta & Kevin L. Reffett, 2005. "Isotone Recursive Methods: the Case of Homogeneous Agents," Tinbergen Institute Discussion Papers 05-012/2, Tinbergen Institute.
- Manuel S. Santos, 2000. "Accuracy of Numerical Solutions using the Euler Equation Residuals," Econometrica, Econometric Society, vol. 68(6), pages 1377-1402, November.
- Kenneth L. Judd, 1991. "Minimum weighted residual methods for solving aggregate growth models," Discussion Paper / Institute for Empirical Macroeconomics 49, Federal Reserve Bank of Minneapolis.
- S. Sirakaya & Stephen Turnovsky & M. Alemdar, 2006.
"Feedback Approximation of the Stochastic Growth Model by Genetic Neural Networks,"
Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 185-206, May.
- Sibel Sirakaya & Stephen Turnovsky & N.M. Alemdar, 2005. "Feedback Approximation of the Stochastic Growth Model by Genetic Neural Networks," Working Papers UWEC-2006-03-P, University of Washington, Department of Economics, revised Jul 2005.
- Mirman, Leonard J. & Morand, Olivier F. & Reffett, Kevin L., 2008.
"A qualitative approach to Markovian equilibrium in infinite horizon economies with capital,"
Journal of Economic Theory, Elsevier, vol. 139(1), pages 75-98, March.
- Leonard J Mirman & Olivier F. Morand & Kevin L. Reffett, 2004. "A Qualitative Approach to Markovian Equilibrium in Infinite Horizon Economies with Capital," Levine's Bibliography 122247000000000224, UCLA Department of Economics.
- John Stachurski, 2009. "Economic Dynamics: Theory and Computation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262012774, April.
- William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 1996.
"The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets,"
Econometrics
9602003, University Library of Munich, Germany.
- William Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 2012. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201215, University of Kansas, Department of Economics, revised Sep 2012.
- Dan Cao & Wenlan Luo & Guangyu Nie, 2023.
"Global GDSGE Models,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 199-225, December.
- Dan Cao & Wenlan Luo & Guangyu Nie, 2023. "Online Appendix to "Global GDSGE Models"," Online Appendices 22-86, Review of Economic Dynamics.
- Dan Cao & Wenlan Luo & Guangyu Nie, 2023. "Code and data files for "Global GDSGE Models"," Computer Codes 22-86, Review of Economic Dynamics.
- Michel Juillard & Tarik Ocaktan, 2008.
"Méthodes de simulation des modèles stochastiques d'équilibre général,"
Economie & Prévision, La Documentation Française, vol. 0(2), pages 115-126.
- Tarik Ocaktan & Michel Juillard, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," Économie et Prévision, Programme National Persée, vol. 183(2), pages 115-126.
- Michel Juillard & Tarik Ocaktan, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," Post-Print hal-00813425, HAL.
- Michel Juillard & Tarik Ocaktan, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," PSE-Ecole d'économie de Paris (Postprint) hal-00813425, HAL.
- Anagnostopoulos Alexis & Tang Xin, 2015. "Evaluating linear approximations in a two-country model with occasionally binding borrowing constraints," The B.E. Journal of Macroeconomics, De Gruyter, vol. 15(1), pages 43-91, January.
- Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2002. "An approximation algorithm for optimal consumption/investment problems," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 11(2), pages 55-69, April.
- Manuel S. Santos & Adrian Peralta-Alva, 2012.
"Analysis of Numerical Errors,"
Working Papers
2012-6, University of Miami, Department of Economics.
- Adrian Peralta-Alva & Manuel S. Santos, 2012. "Analysis of numerical errors," Working Papers 2012-062, Federal Reserve Bank of St. Louis.
- Fernández-Villaverde, J. & Rubio-RamÃrez, J.F. & Schorfheide, F., 2016.
"Solution and Estimation Methods for DSGE Models,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724,
Elsevier.
- Rubio-RamÃrez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
- Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide, 2016. "Solution and Estimation Methods for DSGE Models," NBER Working Papers 21862, National Bureau of Economic Research, Inc.
- Jesus Fernandez-Villaverde & Juan Rubio-RamÃrez & Frank Schorfheide, 2015. "Solution and Estimation Methods for DSGE Models," PIER Working Paper Archive 15-042, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2015.
- Judd, Kenneth L., 1996. "Approximation, perturbation, and projection methods in economic analysis," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 12, pages 509-585, Elsevier.
- Alexander Richter & Nathaniel Throckmorton & Todd Walker, 2014.
"Accuracy, Speed and Robustness of Policy Function Iteration,"
Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 445-476, December.
- Todd B. Walker & Alexander W. Richter & Nathaniel A. Throckmorton, 2014. "Accuracy, Speed and Robustness of Policy Function Iteration," Auburn Economics Working Paper Series auwp2014-08, Department of Economics, Auburn University.
- Lilia Maliar & Serguei Maliar & John B. Taylor & Inna Tsener, 2020.
"A tractable framework for analyzing a class of nonstationary Markov models,"
Quantitative Economics, Econometric Society, vol. 11(4), pages 1289-1323, November.
- Lilia Maliar & Serguei Maliar & John B. Taylor & Inna Tsener, 2015. "A Tractable Framework for Analyzing a Class of Nonstationary Markov Models," Economics Working Papers 15105, Hoover Institution, Stanford University.
- Lilia Maliar & Serguei Maliar & John Taylor & Inna Tsener, 2015. "A Tractable Framework for Analyzing a Class of Nonstationary Markov Models," NBER Working Papers 21155, National Bureau of Economic Research, Inc.
More about this item
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-01c60003. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.