Algorithms for solving dynamic models with occasionally binding constraints

Authors
Christiano, LJ Fisher, JDM
Citation
Lj. Christiano et Jdm. Fisher, Algorithms for solving dynamic models with occasionally binding constraints, J ECON DYN, 24(8), 2000, pp. 1179-1232
Citations number
61
Categorie Soggetti
Economics
Journal title
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
ISSN journal
01651889 → ACNP
Volume
24
Issue
8
Year of publication
2000
Pages
1179 - 1232
Database
ISI
SICI code
0165-1889(200007)24:8<1179:AFSDMW>2.0.ZU;2-O
Abstract
We describe and compare several algorithms for approximating the solution t o a model in which inequality constraints occasionally bind. Their performa nce is evaluated and compared using various parameterizations of the one se ctor growth model with irreversible investment. We develop parameterized ex pectation algorithms which, on the basis of speed, accuracy and convenience of implementation, appear to dominate the other algorithms. (C) 2000 Elsev ier Science B.V. All rights reserved. JEL classification: C6; C63; C68.