A COMPUTATIONAL VALIDATION OF AN ALGORITHM FOR SOLVING A SOCIAL PLANNER'S PROBLEM : A Case of Linear-Quadratic Approximation to Stochastic Dynamic Programming Problems
スポンサーリンク
概要
- 論文の詳細を見る
The objective of this paper is to describe and validate an algorithm for solving a social planner's problem. The computational example for this paper is drawn from Diaz-Gimenez (1999) which provides the MATLAB software program written by Duran. McCullough and Vinod (1999) argue that an analysis of the computational method of running economic models should be verified, not taken for granted. Based on this critique, I reprogrammed the Diaz-Gimenez model in C-language with my own sub-routines and verified the reliability of the simulation results. This was done with greater precision (in double precision) than with the results obtained by Duran. The algorithm focused on in this paper is the linear-quadratic approximation to a nonlinear stochastic dynamic programming problem. Some advantages in using the linear-quadratic structure have been widely acknowledged : (1) the techniques involved are relatively easy to lean and implement ; (2) the programming structure is easily modified for a number of particular applications ; (3) equilibria can be easily computed even when the dimension of the state variable is large, and (4) an explicit linear policy function can be computed (Hansen and Prescott, 1995). One disadvantage, though, is that the resulting equilibrium law of motion must be linear. However, this does not appear to be a serious limitation, since there is little evidence of major nonlinearities in aggregate data (Hansen and Prescott, 1995).
- 青森公立大学の論文
- 2000-03-31
著者
関連論文
- A SIMULTANEOUS MULTI-FACTOR PRICE REVISION FOR SOLVING A NUMERICAL GENERAL EQUILIBRIUM MODEL
- A DUAL APPROACH TO THE IMPLEMENTATION OF A GENERAL EQUILIBRIUM MODEL
- TWO APPROACHES TO SOLVING A NUMERICAL GENERAL EQUILIBRIUM MODEL
- A COMPUTATIONAL VALIDATION OF AN ALGORITHM FOR SOLVING A SOCIAL PLANNER'S PROBLEM : A Case of Linear-Quadratic Approximation to Stochastic Dynamic Programming Problems
- THE SLOW SPEED OF ADJUSTMENT IN A NATIONAL LABOR MARKET, AND ITS EFFECT ON THE TIME PATH OF WORLDWIDE GENERAL EQUILIBRIUM TRANSITION DYNAMICS : The Case of a Hypothetical Two-Country-Multi-sector Trading World
- An Optimal Period of Private Vehicle Ownership : An Application of Deterministic Dynamic Programming