TAYLOR PROJECTION: A NEW SOLUTION METHOD FOR DYNAMIC GENERAL EQUILIBRIUM MODELS

• 成果类型: Article
• 署名作者: Levintal, Oren
• 署名单位: Reichman University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12306
• 发表日期: 2018
• 页码: 1345-1373
• 关键词: simulation; POLICY

摘要

This article presents a new solution method for dynamic equilibrium models. The solution is approximated by polynomials that zero the residual function and its derivatives at a given point x(0). The algorithm is essentially a type of projection but is significantly faster, since the problem is highly sparse and can be easily solved by a Newton solver. The obtained solution is accurate locally in the neighborhood of x(0). Importantly, a local solution can be obtained at any point of the state space. This makes it possible to solve models at points that are further away from the steady state.