Algorithms for solving dynamic models with occasionally binding constraints

✍ Scribed by Lawrence J. Christiano; Jonas D.M. Fisher

• Book ID: 104293684
• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 669 KB
• Volume: 24
• Category: Article
• ISSN: 0165-1889
• DOI: 10.1016/s0165-1889(99)00016-0

✦ Synopsis

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.