Accuracy, Speed and Robustness of Policy Function Iteration
Accuracy, Speed and Robustness of Policy Function Iteration
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策略函数迭代的准确性、速度和鲁棒性
DOI：
10.2139/ssrn.2220235
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发表时间：
2013
影响因子：
2
通讯作者：
Todd B. Walker
中科院分区：
文献类型：
--
作者：
A. W. Richter;Nathaniel A. Throckmorton;Todd B. Walker
从理论和计算的角度来看，用于求解和分析动态随机一般均衡模型的政策函数迭代方法是强大的。尽管有明显的理论吸引力，显着的启动成本和依赖于基于网格的方法限制了使用的策略函数迭代作为解决方案的算法。我们通过提供一套用户友好的MATLAB函数来降低这些成本，这些函数通过MATLAB的可执行函数引入了多核处理和Fortran。在策略函数迭代方法中，我们提倡使用线性插值的时间迭代。我们研究了一个典型的真实的商业周期模型和一个新的凯恩斯主义模型，该模型以政策参数的制度转换、爱泼斯坦-津偏好和偶尔触及名义利率零下限的货币政策为特征，以突出我们方法的吸引力。我们比较我们提倡的方法，其他熟悉的迭代和近似方法，突出的准确性，速度和鲁棒性之间的权衡。
Policy function iteration methods for solving and analyzing dynamic stochastic general equilibrium models are powerful from a theoretical and computational perspective. Despite obvious theoretical appeal, significant startup costs and a reliance on grid-based methods have limited the use of policy function iteration as a solution algorithm. We reduce these costs by providing a user-friendly suite of MATLAB functions that introduce multi-core processing and Fortran via MATLAB’s executable function. Within the class of policy function iteration methods, we advocate using time iteration with linear interpolation. We examine a canonical real business cycle model and a new Keynesian model that features regime switching in policy parameters, Epstein–Zin preferences, and monetary policy that occasionally hits the zero-lower bound on the nominal interest rate to highlight the attractiveness of our methodology. We compare our advocated approach to other familiar iteration and approximation methods, highlighting the tradeoffs between accuracy, speed and robustness.
影响因子：
3.2
作者：
Bi, Huixin;Leeper, Eric M.;Leith, Campbell
通讯作者：
Leith, Campbell