IDEAS home Printed from https://ideas.repec.org/p/cte/wbrepe/wb045619.html
   My bibliography  Save this paper

Computing continuous-time growth models with boundary conditions via wavelets

Author

Abstract

This paper presents an algorithm for approximating the solution of deterministic/stochastic continuous-time growth models based on the Euler's equation and the transversality conditions. The main issue for computing these models is to deal efficiently with the boundary conditions associated. This approach is a wavelets-collocation method derived from the finite-iterative trapezoidal approach. Illustrative examples are given

Suggested Citation

  • Vidal-Sanz, Jose M., 2004. "Computing continuous-time growth models with boundary conditions via wavelets," DEE - Working Papers. Business Economics. WB wb045619, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    • Handle: RePEc:cte:wbrepe:wb045619
    as

    Download full text from publisher

    File URL: https://e-archivo.uc3m.es/rest/api/core/bitstreams/5b597c2a-27ed-4599-b807-6eae1f735347/content
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Romer, Paul M, 1986. "Increasing Returns and Long-run Growth," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1002-1037, October.
    2. Goffe, William L, 1993. "A User's Guide to the Numerical Solution of Two-Point Boundary Value Problems Arising in Continuous Time Dynamic Economic Models," Computational Economics, Springer;Society for Computational Economics, vol. 6(3-4), pages 249-255, November.
    3. repec:bla:ecorec:v:78:y:2002:i:243:p:375-80 is not listed on IDEAS
    4. Mercedes Esteban-Bravo, 2004. "Computing Equilibria in General Equilibrium Models via Interior-point Methods," Computational Economics, Springer;Society for Computational Economics, vol. 23(2), pages 147-171, March.
    5. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
    6. Robert M. Solow, 1956. "A Contribution to the Theory of Economic Growth," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 70(1), pages 65-94.
    7. Santos, Manuel S., 1999. "Numerical solution of dynamic economic models," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 5, pages 311-386, Elsevier.
    8. T. W. Swan, 1956. "ECONOMIC GROWTH and CAPITAL ACCUMULATION," The Economic Record, The Economic Society of Australia, vol. 32(2), pages 334-361, November.
    9. P. K. Venkatesh, 2001. "On the Optimum Control of Differential-Algebraic Equations," Journal of Optimization Theory and Applications, Springer, vol. 109(3), pages 675-689, June.
    10. Nualart, David & Pardoux, Etienne, 1991. "Second order stochastic differential equations with Dirichlet boundary conditions," Stochastic Processes and their Applications, Elsevier, vol. 39(1), pages 1-24, October.
    11. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1.
    12. Rust, John, 1996. "Numerical dynamic programming in economics," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 14, pages 619-729, Elsevier.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Avagyan, Vardan & Esteban-Bravo, Mercedes & Vidal-Sanz, Jose M., 2016. "Riding successive product diffusion waves. Building a tsunami via upgrade-rebate programs," International Journal of Research in Marketing, Elsevier, vol. 33(4), pages 780-796.
    2. Avagyan, Vardan & Esteban-Bravo, Mercedes & Vidal-Sanz, Jose M., 2014. "Licensing radical product innovations to speed up the diffusion," European Journal of Operational Research, Elsevier, vol. 239(2), pages 542-555.
    3. Liu, Xiaoquan & Cao, Yi & Ma, Chenghu & Shen, Liya, 2019. "Wavelet-based option pricing: An empirical study," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1132-1142.
    4. repec:wyi:journl:002092 is not listed on IDEAS
    5. repec:wyi:journl:002097 is not listed on IDEAS
    6. Chen Yi-Ting & Sun Edward W. & Yu Min-Teh, 2015. "Improving model performance with the integrated wavelet denoising method," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 445-467, September.
    7. Haven, Emmanuel & Liu, Xiaoquan & Ma, Chenghu & Shen, Liya, 2009. "Revealing the implied risk-neutral MGF from options: The wavelet method," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 692-709, March.

    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.
    1. Kenneth L. Judd & Lilia Maliar & Serguei Maliar & Inna Tsener, 2017. "How to solve dynamic stochastic models computing expectations just once," Quantitative Economics, Econometric Society, vol. 8(3), pages 851-893, November.
    2. Aruoba, S. Boragan & Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Comparing solution methods for dynamic equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2477-2508, December.
    3. Barillas, Francisco & Fernandez-Villaverde, Jesus, 2007. "A generalization of the endogenous grid method," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2698-2712, August.
    4. Lars J. Olson & Santanu Roy, 2006. "Theory of Stochastic Optimal Economic Growth," Springer Books, in: Rose-Anne Dana & Cuong Le Van & Tapan Mitra & Kazuo Nishimura (ed.), Handbook on Optimal Growth 1, chapter 11, pages 297-335, Springer.
    5. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2010. "A Cluster-Grid Projection Method: Solving Problems with High Dimensionality," NBER Working Papers 15965, National Bureau of Economic Research, Inc.
    6. Kawalec Paweł, 2020. "The dynamics of theories of economic growth: An impact of Unified Growth Theory," Economics and Business Review, Sciendo, vol. 6(2), pages 19-44, June.
    7. Matthias Firgo & Peter Mayerhofer, 2015. "Wissens-Spillovers und regionale Entwicklung - welche strukturpolitische Ausrichtung optimiert des Wachstum?," Working Paper Reihe der AK Wien - Materialien zu Wirtschaft und Gesellschaft 144, Kammer für Arbeiter und Angestellte für Wien, Abteilung Wirtschaftswissenschaft und Statistik.
    8. Valentina Ciriotto & José Noguera-Santaella, 2023. "The Catching up in Steady State per Capita Income: Latin America and the Caribbean," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 51(1), pages 71-82, March.
    9. Martina Vukašina & Ines Kersan-Škabiæ & Edvard Orliæ, 2022. "Impact of European structural and investment funds absorption on the regional development in the EU–12 (new member states)," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 857-880, December.
    10. Sudip Ranjan Basu, 2005. "Correlating Growth with Well-Being during Economic Reforms Evidence from India and China," Development and Comp Systems 0509010, University Library of Munich, Germany.
    11. Hugo Benítez-Silva & Eva Cárceles-Poveda & Selçuk Eren, 2011. "Effects of Legal and Unauthorized Immigration on the U.S. Social Security System," Working Papers wp250, University of Michigan, Michigan Retirement Research Center.
    12. Marion Payen & Patrick Rondé, 2020. "Culture, Institutions and Economic Growth," Working Papers of BETA 2020-18, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    13. Miketa, Asami & Mulder, Peter, 2005. "Energy productivity across developed and developing countries in 10 manufacturing sectors: Patterns of growth and convergence," Energy Economics, Elsevier, vol. 27(3), pages 429-453, May.
    14. Holobiuc Ana-Maria, 2023. "Economic Growth And Cohesion In The European Union," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 6, pages 189-196, December.
    15. Jun, Bogang & Kim, Tai-Yoo, 2015. "A neo-Schumpeterian perspective on the analytical macroeconomic framework: The expanded reproduction system," Hohenheim Discussion Papers in Business, Economics and Social Sciences 11-2015, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
    16. Emmanuel SENZU, 2018. "Investment Attraction, Competition And Growth; Theoretical Perspective In The Context Of Africa," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 9(1), pages 92-102.
    17. Carolina Arteaga Cabrales, 2011. "Human Capital Externalities and Growth," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(66), pages 12-47, December.
    18. Panagiotis KOUDOUMAKIS & George BOTZORIS & Angelos PROTOPAPAS, 2021. "The Contribution Of Cohesion Policy To The Development And Convergence Of The Regions Of The European Union," Regional Science Inquiry, Hellenic Association of Regional Scientists, vol. 0(2), pages 277-290, June.
    19. Åsa Johansson, 2016. "Public Finance, Economic Growth and Inequality: A Survey of the Evidence," OECD Economics Department Working Papers 1346, OECD Publishing.
    20. Dakpogan, Arnaud & Smit, Eon, 2018. "The effect of electricity losses on GDP in Benin," MPRA Paper 89545, University Library of Munich, Germany.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    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:cte:wbrepe:wb045619. 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: Ana Poveda (email available below). General contact details of provider: http://www.business.uc3m.es/es/index .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.