A THEORY OF PRUNING

• 成果类型: Article
• 署名作者: Lombardo, Giovanni; Uhlig, Harald
• 署名单位: Bank for International Settlements (BIS); University of Chicago
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12321
• 发表日期: 2018
• 页码: 1825-1836
• 关键词: models

摘要

Often, numerical simulations for dynamic, stochastic models in economics are needed. Kim et al. (Journal of Economic Dynamics and Control 32 2008, 3397-414) proposed pruning to deal with the challenge of generating explosive paths when employing second-order approximations. In this article, we provide a theory of pruning and formulas for pruning of any order. Our approach builds on Judd's Numerical Methods in Economics (1998), chapter 13. We provide a comparison to existing methods.