ACCURACY OF NUMERICAL SOLUTIONS USING THE EULER EQUATION RESIDUALS

By Manuel S. Santos. 2000

115 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/26190de977d922771d00cbf3a6153769bcec73a4

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In Economics and Econometrics

In Management Science and Operations Research

Citations in the corpus

Comparison of Solutions to the Incomplete Markets Model with Aggregate Uncertainty (2008, background): “Santos (2000) relates the Euler equation residual to errors in the policy function. ter (2001) and Santos and Peralta-Alva (2005) construct a relationship between the size of the errors found and upperbounds on the errors of objects t economists are interested in such as the obtained utility level…”
Convergence Properties of the Likelihood of Computed Dynamic Models (2005, unknown): “Santos (2000) shows that for a class of dynamic optimization problems, the approximation error of the policy function is of the same order of magnitude as the size of the Euler equation residual.”
Solving DSGE models with perturbation methods and a change of variables (2006, background): “For example, Aruoba et al. (2005) find that, for a model like the one studied in this paper, up to 4 percent of the simulations led to explosive paths when they use a fifth-order approximation.”
Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents (2010, unknown): “Santos (2000) relate the Euler equation residual to errors in the policy function.”
Accuracy of simulations for stochastic dynamic models (2005, methodology): “The Euler equation residuals generated by this policy function are of order at most 10−9, which seems a very good approximation to the true solution [cf. Santos (2000)].”
Comparing Solution Methods for Dynamic Equilibrium Economies (2006, background): “…also important because we know that under certain conditions, the approximation error of the policy function is of the same order of magnitude as the size of the Euler equation residual and correspondingly the change in welfare is of the square order of the Euler equation residual (Santos, 2000).”