Algorithms for solving dynamic models with occasionally binding constraints

Lawrence J. Christiano; Jonas D.M. Fisher

doi:10.1016/s0165-1889(99)00016-0

Algorithms for solving dynamic models with occasionally binding constraints

Lawrence J. Christiano, Jonas D.M. Fisher^*

^*Corresponding author for this work

Economics

Research output: Contribution to journal › Article › peer-review

96 Scopus citations

Abstract

We describe and compare several algorithms for approximating the solution to a model in which inequality constraints occasionally bind. Their performance is evaluated and compared using various parameterizations of the one sector growth model with irreversible investment. We develop parameterized expectation algorithms which, on the basis of speed, accuracy and convenience of implementation, appear to dominate the other algorithms.

Original language	English (US)
Pages (from-to)	1179-1232
Number of pages	54
Journal	Journal of Economic Dynamics and Control
Volume	24
Issue number	8
DOIs	https://doi.org/10.1016/s0165-1889(99)00016-0
State	Published - Jul 2000

Keywords

C6
C63
C68
Chebyshev interpolation
Collocation
Occasionally binding constraints
Parameterized expectations

ASJC Scopus subject areas

Economics and Econometrics
Control and Optimization
Applied Mathematics

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10.1016/s0165-1889(99)00016-0

Cite this

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title = "Algorithms for solving dynamic models with occasionally binding constraints",

abstract = "We describe and compare several algorithms for approximating the solution to a model in which inequality constraints occasionally bind. Their performance is evaluated and compared using various parameterizations of the one sector growth model with irreversible investment. We develop parameterized expectation algorithms which, on the basis of speed, accuracy and convenience of implementation, appear to dominate the other algorithms.",

keywords = "C6, C63, C68, Chebyshev interpolation, Collocation, Occasionally binding constraints, Parameterized expectations",

author = "Christiano, {Lawrence J.} and Fisher, {Jonas D.M.}",

note = "Funding Information: We thank Graham Candler, Wouter den Haan, Kenneth Judd, Albert Marcet, David Marshall, Mario Miranda, Ellen McGrattan, Manuel Santos, two anonymous referees and an associate editor for helpful comments. Christiano is grateful for the financial support of a grant to the National Bureau of Economic Research from the National Science Foundation. Fisher is grateful for the financial support of the Social Sciences and Humanities Research Council. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Chicago or the Federal Reserve System. Appendix A ",

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doi = "10.1016/s0165-1889(99)00016-0",

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AU - Christiano, Lawrence J.

AU - Fisher, Jonas D.M.

N1 - Funding Information: We thank Graham Candler, Wouter den Haan, Kenneth Judd, Albert Marcet, David Marshall, Mario Miranda, Ellen McGrattan, Manuel Santos, two anonymous referees and an associate editor for helpful comments. Christiano is grateful for the financial support of a grant to the National Bureau of Economic Research from the National Science Foundation. Fisher is grateful for the financial support of the Social Sciences and Humanities Research Council. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Chicago or the Federal Reserve System. Appendix A

PY - 2000/7

Y1 - 2000/7

N2 - We describe and compare several algorithms for approximating the solution to a model in which inequality constraints occasionally bind. Their performance is evaluated and compared using various parameterizations of the one sector growth model with irreversible investment. We develop parameterized expectation algorithms which, on the basis of speed, accuracy and convenience of implementation, appear to dominate the other algorithms.

AB - We describe and compare several algorithms for approximating the solution to a model in which inequality constraints occasionally bind. Their performance is evaluated and compared using various parameterizations of the one sector growth model with irreversible investment. We develop parameterized expectation algorithms which, on the basis of speed, accuracy and convenience of implementation, appear to dominate the other algorithms.

KW - C6

KW - C63

KW - C68

KW - Chebyshev interpolation

KW - Collocation

KW - Occasionally binding constraints

KW - Parameterized expectations

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JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

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Algorithms for solving dynamic models with occasionally binding constraints

Abstract

Keywords

ASJC Scopus subject areas

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