Solving the multi-country real business cycle model using ergodic set methods
By: Serguei Maliar, Lilia Maliar, Kenneth L. Judd
Contributors: Maliar, Lilia; Judd, Kenneth L.; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16304; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16304.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "We use the stochastic simulation algorithm, described in Judd, Maliar and Maliar (2009), and the cluster-grid algorithm, developed in Judd, Maliar and Maliar (2010a), to solve a collection of multi-country real business cycle models.  The following ingredients help us reduce the cost in high-dimensional problems: an endogenous grid enclosing the ergodic set, linear approximation methods, fixed-point iteration and efficient integration methods, such as non-product monomial rules and Monte Carlo integration combined with regression.  We show that high accuracy in intratemporal choice is crucial for the overall accuracy of solutions and offer two approaches, precomputation and iteration-on-allocation, that can solve for intratemporal choice both accurately and quickly.  We also implement a hybrid solution algorithm that combines the perturbation and accurate intratemporal-choice methods"--National Bureau of Economic Research web site.
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