[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/fgv/epgrbe/v60y2006i2a925.html
   My bibliography  Save this article

Solving Euler Equations: Classical Methods and the C¹ Contraction Mapping Method Revisited

Author

Listed:
  • Maldonado, Wilfredo L.
  • Moreira, Humberto Luiz Ataíde
Abstract
Neste artigo descrevemos os métodos clássicos utilizados para resolver as equações de Euler. Dedicamos atenção especial ao método iterativo construído a partir dessas equações, descrito em Maldonado and Moreira (2003). Isto é feito com o intuito de testar a sua robustez em modelos que apresentam sensibilidade às condições iniciais e, finalmente, estender o método para o caso de equações de Euler estocásticas.

Suggested Citation

  • 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.
    • Handle: RePEc:fgv:epgrbe:v:60:y:2006:i:2:a:925
    as

    Download full text from publisher

    File URL: https://periodicos.fgv.br/rbe/article/view/925
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Li, Jenny X., 1998. "Numerical analysis of a nonlinear operator equation arising from a monetary model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1335-1351, August.
    2. 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.
    3. Humberto Moreira & Wilfredo Maldonado, 2003. "A contractive method for computing the stationary solution of the Euler equation," Economics Bulletin, AccessEcon, vol. 3(1), pages 1-14.
    4. 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.
    5. McGrattan, Ellen R, 1990. "Solving the Stochastic Growth Model by Linear-Quadratic Approximation," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 41-44, January.
    6. repec:ebl:ecbull:v:3:y:2003:i:1:p:1-14 is not listed on IDEAS
    7. 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.
    8. Coleman, Wilbur John, II, 1991. "Equilibrium in a Production Economy with an Income Tax," Econometrica, Econometric Society, vol. 59(4), pages 1091-1104, July.
    9. Albert Marcet & Guido Lorenzoni, 1998. "Parameterized expectations approach; Some practical issues," Economics Working Papers 296, Department of Economics and Business, Universitat Pompeu Fabra.
    10. Wilfredo Leiva Maldonado & Benar Fux Svaiter, 2001. "On the accuracy of the estimated policy function using the Bellman contraction method," Economics Bulletin, AccessEcon, vol. 3(15), pages 1-8.
    11. Boldrin, Michele & Montrucchio, Luigi, 1986. "On the indeterminacy of capital accumulation paths," Journal of Economic Theory, Elsevier, vol. 40(1), pages 26-39, October.
    12. 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.
    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. David González-Sánchez & Onésimo Hernández-Lerma, 2014. "Dynamic Potential Games: The Discrete-Time Stochastic Case," Dynamic Games and Applications, Springer, vol. 4(3), pages 309-328, September.

    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. repec:ebl:ecbull:v:3:y:2003:i:1:p:1-14 is not listed on IDEAS
    2. 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.
    3. Wilfredo Leiva Maldonado & Benar Fux Svaiter, 2001. "On the accuracy of the estimated policy function using the Bellman contraction method," Economics Bulletin, AccessEcon, vol. 3(15), pages 1-8.
    4. 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.
    5. John Stachurski, 2009. "Economic Dynamics: Theory and Computation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262012774, April.
    6. 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.
    7. Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
    8. 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.
    9. 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.
    10. Manjira Datta & Kevin L. Reffett, 2005. "Isotone Recursive Methods: the Case of Homogeneous Agents," Tinbergen Institute Discussion Papers 05-012/2, Tinbergen Institute.
    11. Li, Huiyu & Stachurski, John, 2014. "Solving the income fluctuation problem with unbounded rewards," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 353-365.
    12. 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.
    13. 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.
    14. Karp, Larry & Zhang, Jiangfeng, 2001. "Bayesian Learning and the Regulation of Greenhouse Gas Emissions," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2fr0783c, Department of Agricultural & Resource Economics, UC Berkeley.
    15. 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.
    16. 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.
    17. Joshi, Sumit, 2003. "The stochastic turnpike property without uniformity in convex aggregate growth models," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1289-1315, May.
    18. Jesper Lindé & Mathias Trabandt, 2018. "Should we use linearized models to calculate fiscal multipliers?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 937-965, November.
    19. Manjira Datta & Leonard Mirman & Olivier Morand & Kevin Reffett, 2002. "Monotone Methods for Markovian Equilibrium in Dynamic Economies," Annals of Operations Research, Springer, vol. 114(1), pages 117-144, August.
    20. Victor Aguirregabiria & Arvind Magesan, "undated". "Soultion and Estimation of Dynamic Discrete Choice Structural Models Using Euler Equations," Working Papers 2016-32, Department of Economics, University of Calgary, revised 24 May 2016.
    21. Manjira Datta & Leonard Mirman & Olivier F. Morand & Kevin Reffett, 2001. "Monotone Methods for Distorted Economies," Working papers 2001-03, University of Connecticut, Department of Economics.

    More about this item

    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:fgv:epgrbe:v:60:y:2006:i:2:a:925. 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: Núcleo de Computação da FGV EPGE (email available below). General contact details of provider: https://edirc.repec.org/data/epgvfbr.html .

    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.