Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods / John B. Taylor, Harald Uhlig.

By:

Taylor, John B

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Material type: Text

TextSeries: Working Paper Series (National Bureau of Economic Research) ; no. w3117.Publication details: Cambridge, Mass. National Bureau of Economic Research 1989.Description: 1 online resource: illustrations (black and white)Subject(s):

C - Mathematical and Quantitative Methods

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Abstract: The purpose of this paper is to report on a comparison of several alternative numerical solution techniques for nonlinear rational expectations models. The comparison was made by asking individual researchers to apply their different solution techniques to a simple representative agent, optimal, stochastic growth model. Decision rules as well as simulated time series are compared. The differences among the methods turned out to be quite substantial for certain aspects of the growth model. Therefore, researchers might want to be careful not to rely blindly on the results of any chosen numerical solution method in applied work.

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Item type	Home library	Collection	Call number	Status	Date due	Barcode	Item holds
Working Paper	Biblioteca Digital	Colección NBER	nber w3117 (Browse shelf(Opens below))	Not For Loan

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September 1989.

The purpose of this paper is to report on a comparison of several alternative numerical solution techniques for nonlinear rational expectations models. The comparison was made by asking individual researchers to apply their different solution techniques to a simple representative agent, optimal, stochastic growth model. Decision rules as well as simulated time series are compared. The differences among the methods turned out to be quite substantial for certain aspects of the growth model. Therefore, researchers might want to be careful not to rely blindly on the results of any chosen numerical solution method in applied work.