A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems

We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state variab...

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Veröffentlicht in:	Quantitative economics 2023-05, Vol.14 (2), p.651-687
Hauptverfasser:	Cai, Yongyang, Kenneth, L. Judd
Format:	Artikel
Sprache:	eng
Schlagworte:	Accuracy Approximation C61 C63 C68 competitive equilibrium Econometrics Economic models Economic problems integrated assessment model large- scale model Methods new Keynesian model nonstationary problem occasionally binding constraint parallelism Q54 Q58 Simulation Stochastic dynamic programming Stochastic models Variables zero lower bound
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