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Numerical Solution of Dynamic Economic Models

Author

Listed:
  • Manuel Santos

    (Centro de Investigacion Economica (CIE), Instituto Tecnologico Autonomo de Mexico (ITAM))

Abstract

This chapter is concerned with numerical simulation of dynamic economic models. We focus on some basic algorithms and study their accuracy and stability properties. This analysis is useful for an optimal implementation and testing of these procedures, as well as to evaluate their performance. Several examples are provided in order to illustrate the functioning and efficiency of these algorithms.

Suggested Citation

  • Manuel Santos, 1998. "Numerical Solution of Dynamic Economic Models," Working Papers 9804, Centro de Investigacion Economica, ITAM.
    • Handle: RePEc:cie:wpaper:9804
    as

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    Citations

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    Cited by:

    1. Felix Kubler & Karl Schmedders, 2001. "Incomplete Markets, Transitory Shocks, and Welfare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 747-766, October.
    2. Pontus Rendahl, 2015. "Inequality Constraints and Euler Equation‐based Solution Methods," Economic Journal, Royal Economic Society, vol. 125(585), pages 1110-1135, June.

    More about this item

    Keywords

    Dynamic economic model; value function; policy function; Euler equation; numerical algorithm; numerical solution; approximation error.;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models

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