求解非线性随机增长模型:不同求解方法的比较

Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods

Journal of Business & Economic Statistics · 1990
被引 118
人大 AABS 4

中文导读

比较了多种数值方法求解非线性理性预期模型的效果,发现不同方法在增长模型的某些方面差异显著,提醒研究者不要盲目依赖单一方法。

Abstract

The purpose of this article is to report on a comparison of several alternative numerical solution techniques for nonlinear rational-expectations models. The comparison was made by asking individual researchers to apply their different solution techniques to a simple representative-agent, optimal, stochastic growth model. Decision rules as well as simulated time series are compared. The differences among the methods turned out to be quite substantial for certain aspects of the growth model. Therefore, researchers might want to be careful not to rely blindly on the results of any chosen numerical solution method in applied work.

非线性随机增长模型数值求解方法理性预期模型决策规则比较