TAYLOR PROJECTION: A NEW SOLUTION METHOD FOR DYNAMIC GENERAL EQUILIBRIUM MODELS.
Abstract: This article presents a new solution method for dynamic equilibrium models. The solution is approximated by polynomials that zero the residual function and its derivatives at a given point x. The algorithm is essentially a type of projection but is significantly faster, since the problem i...
| Publicado en: | International Economic Review Vol. 59; no. 3; pp. 1345 - 1374 |
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| Formato: | Artículo |
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Wiley-Blackwell
Aug2018
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| Acceso en línea: | Ver este registro en EBSCOhost |
| Sumario: | Abstract: This article presents a new solution method for dynamic equilibrium models. The solution is approximated by polynomials that zero the residual function and its derivatives at a given point x. The algorithm is essentially a type of projection but is significantly faster, since the problem is highly sparse and can be easily solved by a Newton solver. The obtained solution is accurate locally in the neighborhood of x. Importantly, a local solution can be obtained at any point of the state space. This makes it possible to solve models at points that are further away from the steady state. |
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