Accuracy of stochastic perturbation methods: The case of asset pricing models

By F. Collard, Michel Juillard. 2001

201 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c8bd2256038c353b052600c03637c25a9b7de078

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Using Nonlinear Model Predictive Control for Dynamic Decision Problems in Economics (2015, methodology): “Judd and Guu (1997) extended the method to compute the higher-order terms of the expansion, see also Collard and Juillard (2001).”
Nonlinear and stable perturbation-based approximations (2012, background): “39 We follow Collard and Juillard (2001) and define the stochastic steady state as the fixed point of the regular perturbation solution– with a possible correction for uncertainty– when zt is equal to its steady state value.”
Calculating and Using Second Order Accurate Solutions of Discrete Time (2003, unknown): “It may seem that these are all standard assumptions on the degree of differentiability of the system near ¯ w. Consider what emerges, though, when we split the system into expectational and non-expectational components as in ( 2 )-(3).”
A new comparative approach to macroeconomic modeling and policy analysis (2012, methodology): “8 US_NFED08 based on Edge et al. (2008), version used for estimation in Wieland and Wolters (2011) 2.”
Bayesian Analysis of DSGE Models (2006, unknown): “Algorithms to construct such solutions have been developed by Judd (1998), Collard and Juillard (2001), Jin and Judd (2002), SchmittGrohé and Uribe (2006), Kim et al. (2005), and Swanson et al.”
Dynare add-on for "Solving DSGE Models with a Nonlinear Moving Average" (2013, methodology): “…Judd (1997), Judd and Guu (1997), and Judd (1998, ch. 13) has thus far operated solely with state-space methods, see Collard and Juillard (2001b), Collard and Juillard (2001a), Jin and Judd (2002), Schmitt-Grohé and Uribe (2004), Anderson, Levin, and Swanson (2006), Lombardo and Sutherland…”
Local approximation of DSGE models around the risky steady state (2011, methodology): “Second order approximations are discussed in several papers: Sims (2000); Collard and Juillard (2001); Kim et al.”
Monetary policy and welfare in a small open economy (2009, methodology): “As a result, we obtain a purely quadratic approximation for the objective function.8 Alternative approaches to welfare evaluation include the computational methods described in Collard and Juillard (2001), Kim et al. (2003) and Schmitt-Grohé and Uribe (2004).”
Spurious Welfare Reversals in International Business Cycle Models (2003, background): “…the deterministic steady state ( ¹C = ¹Yi = 1), we would have derived the following solution; logCquadratic = 1 2 (log Y1 + log Y2) + 1 8 £ (log Y1) 2 ¡ 2 (log Y1) (log Y2) + (log Y2)2 ¤ : (2.30) 12See Gaspar and Judd (1997) and Collard and Juillard (1999) for more on the perturbation method.”
A method for solving general equilibrium models with incomplete markets and many financial assets (2012, unknown): “The first-order condition associated with the h traded firm’s optimization problem is 1= Et £ Mt+1Rk t+1 ¤ , ( 12 )”