Comparing Solution Methods for Dynamic Equilibrium Economies

By S. Bora, Gan Aruoba, Jesús Fernández-Villaverde, Juan F. Rubio-Ramirez, Jonathan Heathcote, Víctor Ríos-Rull, Stephanie Schmitt-Grohé. 2006

449 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/bf8548a787493486b2af07dc1495b0c4dd5cf3e1

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In Economics and Econometrics

Citations in the corpus

Bayesian Analysis of DSGE Models (2006, unknown): “Judd (1998) covers various solution methods, and Taylor and Uhlig (1990), Den Haan and Marcet (1994), and Aruoba et al. (2004) compare the accuracy of alternative solution methods.”
Perturbation Methods for Markov-Switching DSGE Models (2014, methodology): “Given the first-order and second-order approximations, we can compute and compare their accuracy using Euler equation errors as suggested in Judd (1998) and Aruoba et al. (2006). The Euler equation error at point ( k̃t−1, εt; st ) for the approximation order ∈ {first, second} is EE ( k̃t−1, εt, 1; s”
Code files for "Finite State Markov-chain Approximations to Highly Persistent Processes" (2009, methodology): “where "t is a white noise with variance 2 ": If j j < 1, then the AR(1) process is stationary and the random variable zt has a mean of zero, a variance of (2)z = (2)" 1 2 ; (2)”
Stock Price Booms and Expected Capital Gains (2017, unknown): “, Aruoba et al. (2006), and convergent solution algorithm, see Rendahl (2013).”
OccBin: A Toolkit for Solving Dynamic Models With Occasionally Binding Constraints Easily (2015, result): “The Euler errors in the middle panel are consistent with results in Aruoba, Fernandez-Villaverde, and Rubio-Ramirez (2006), who also discuss the performance of the log-linear solution algorithm for the standard RBC model.”
Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models (2011, methodology): “Aruoba, Fernandez-Villaverde, and Rubio-Ramírez (2006), Heer and Maussner (2008), Den Haan (2010), and Kollmann, Maliar, Malin, and Pichler (2011).”
How Structural Are Structural Parameters? [with Comments and Discussion] (2007, unknown): “Final good producers are perfectly competitive and maximize profits subject to the production function (4), taking as given all intermediate goods prices pti and the final good price pt.”
Macroeconomics and Volatility: Data, Models, and Estimation (2010, unknown): “The second approach to solve for the unknown decision rules in the equilibrium conditions is to build a higher-order perturbation, an approach that has been shown to be both accurate and fast (Aruoba, Fernández-Villaverde, and Rubio-Ramírez, 2006).”
Solving DSGE models with perturbation methods and a change of variables (2006, methodology): “We show how a change of variables noticeably increases the accuracy of second-order approximations, even if those are already quite accurate when applied to the stochastic neoclassical growth model (see Aruoba et al., 2005, for details).”
Risk Matters: The Real Effects of Volatility Shocks (2009, unknown): “We estimate …rst the parameters of the process driving the international risk free real rate deviation de…ned by equations (2) and ( 4 ).”
Asset Pricing in a Production Economy with Chew-Dekel Preferences (2007, unknown): “Aruoba, Fernandez-Villaverde, and Rubio-Ramirez (2006) restrict their tests to quan-”