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Dynamic General Equilibrium Modeling : Computational Methods and Applications
| Dynamic General Equilibrium Modeling : Computational Methods and Applications |
| Autore | Heer Burkhard |
| Edizione | [3rd ed.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing AG, , 2024 |
| Descrizione fisica | 1 online resource (943 pages) |
| Disciplina | 330.015118 |
| Altri autori (Persone) | MaußnerAlfred |
| Collana | Springer Texts in Business and Economics Series |
| ISBN | 3-031-51681-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface to the Third Edition -- Acknowledgements -- Contents -- List of Figures -- List of Tables -- Acronyms -- List of Symbols -- List of Programs -- Part I Representative Agent Models -- Chapter 1 Basic Models -- 1.1 Introduction -- 1.2 The Deterministic Finite-Horizon Ramsey Model -- 1.2.1 The Ramsey Problem -- 1.2.2 The Karush-Kuhn-Tucker Theorem -- 1.3 The Deterministic Infinite-Horizon Ramsey Model -- 1.3.1 Recursive Utility -- 1.3.2 Euler Equations -- 1.3.3 Dynamic Programming -- 1.3.4 The Saddle Path -- 1.3.5 Models with Analytical Solution -- 1.4 The Stochastic Ramsey Model -- 1.4.1 Stochastic Output -- 1.4.2 Stochastic Euler Equations -- 1.4.3 Stochastic Dynamic Programming -- 1.5 Labor Supply, Growth, and the Decentralized Economy -- 1.5.1 Substitution of Leisure -- 1.5.2 Growth and Restrictions on Technology and Preferences -- 1.5.3 Parameterizations of Utility and Important Elasticities -- 1.5.4 The Decentralized Economy -- 1.6 Model Calibration and Evaluation -- 1.6.1 The Benchmark Business Cycle Model -- 1.6.2 Calibration -- 1.6.3 Model Evaluation -- 1.7 Numerical Solution Methods -- 1.7.1 Overview -- 1.7.2 Accuracy of Solutions -- A.1 Solution to Example 1.3.1 -- A.2 Restrictions on Technology and Preferences -- Chapter 2 Perturbation Methods: Framework and Tools -- 2.1 Introduction -- 2.2 Order of Approximation -- 2.3 Tools -- 2.3.1 A Brief List -- 2.3.2 Application to the Deterministic Ramsey Model -- 2.4 The Stochastic Linear-Quadratic Model -- 2.4.1 The Model -- 2.4.2 Policy Functions -- 2.4.3 Certainty Equivalence -- 2.5 A Canonical DSGE Model -- 2.5.1 Example -- 2.5.2 Generalization -- 2.6 More Tools and First Results -- 2.6.1 Computer Algebra versus Paper and Pencil -- 2.6.2 Derivatives of Composite Functions and Tensor Notation -- 2.6.3 Derivatives of Composite Functions and Matrix Chain Rules.
2.6.4 Computation of Partial Derivatives -- A.3 Solution of the Stochastic LQ Problem -- A.4 Third-Order Effects -- Chapter 3 Perturbation Methods: Solutions -- 3.1 Introduction -- 3.2 First-Order Solution -- 3.2.1 First-Order Policy Functions -- 3.2.2 BA Model -- 3.2.3 System Reduction -- 3.2.4 Digression: Solving Separately for the Deterministic and Stochastic Components -- 3.3 Second-Order Solution -- 3.3.1 Second-Order Policy Functions -- 3.3.2 Coefficients of the State Variables -- 3.3.3 Coefficients of the Perturbation Parameter -- 3.4 Third-Order Solution -- 3.4.1 Third-Order Policy Functions -- 3.4.2 Coefficients of the State Variables -- 3.4.3 Coefficients of the State-Dependent Uncertainty -- 3.4.4 Coefficients of the Perturbation Parameter -- 3.5 Implementation -- A.5 Coefficients of the State-Dependent Uncertainty -- A.6 Coefficients of the Perturbation Parameter -- Chapter 4 Perturbation Methods: Model Evaluation and Applications -- 4.1 Introduction -- 4.2 Second Moments -- 4.2.1 Analytic Second Moments: Time Domain -- 4.2.2 Digression: Unconditional Means -- 4.2.3 Analytical Second Moments: Frequency Domain -- 4.2.4 Second Moments: Monte-Carlo Approach -- 4.3 Impulse Responses -- 4.4 The Benchmark Business Cycle Model -- 4.5 Time-to-Build Model -- 4.6 A New Keynesian Model -- 4.6.1 The Monopolistically Competitive Economy -- 4.6.2 Price Staggering -- 4.6.3 Wage Staggering -- 4.6.4 Nominal Frictions and Interest Rate Shocks -- 4.6.5 Habits and Adjustment Costs -- A.7 Derivation of the Demand Function -- A.8 Price Phillips Curve -- A.9 Wage Phillips Curve -- Chapter 5 Weighted Residuals Methods -- 5.1 Introduction -- 5.2 Analytical Framework -- 5.2.1 Motivation -- 5.2.2 Residual, Test, and Weight Function -- 5.2.3 Common Test Functions -- 5.2.4 Spectral and Finite Element Functions -- 5.2.5 Illustration -- 5.2.6 General Procedure. 5.3 Implementation -- 5.3.1 State Space -- 5.3.2 Basis Functions -- 5.3.3 Residual Function -- 5.3.4 Projection and Solution -- 5.3.5 Accuracy -- 5.4 The Deterministic Growth Model -- 5.5 The Benchmark Business Cycle Model -- 5.6 The Benchmark Search and Matching Model -- 5.6.1 Motivation -- 5.6.2 The Model -- 5.6.3 Galerkin Solution -- 5.6.4 Results -- 5.7 Disaster Risk Models -- 5.7.1 Motivation -- 5.7.2 The Benchmark Business Cycle Model with Disaster Risk -- 5.7.3 Generalized Expected Utility -- 5.7.4 Adjustment Costs of Capital -- 5.7.5 Variable Disaster Size and Conditional Disaster Probability -- 5.7.6 The Full Model -- Chapter 6 Simulation-Based Methods -- 6.1 Introduction -- 6.2 Extended Path Method -- 6.2.1 Motivation -- 6.2.2 The General Algorithm -- 6.2.3 Application: The Benchmark Business Cycle Model -- 6.2.4 Application: The Model of a Small Open Economy -- 6.2.5 Conclusion -- 6.3 Simulation and Function Approximation -- 6.3.1 Motivation -- 6.3.2 The General Algorithm -- 6.3.3 Application: The Benchmark Business Cycle Model -- 6.3.4 Application: The Limited Participation Model of Money -- 6.3.5 Conclusion -- Chapter 7 Discrete State Space Value Function Iteration -- 7.1 Introduction -- 7.2 Solution of Deterministic Models -- 7.3 Solution of Stochastic Models -- 7.3.1 Framework -- 7.3.2 Approximations of Conditional Expectations -- 7.3.3 Basic Algorithm -- 7.3.4 Initialization -- 7.3.5 Interpolation -- 7.3.6 Acceleration -- 7.3.7 Value Function Iteration and Linear Programming -- 7.3.8 Evaluation -- 7.4 Further Applications -- 7.4.1 Nonnegative Investment -- 7.4.2 The Benchmark Model -- Part II Heterogenous Agent Models -- Chapter 8 Computation of Stationary Distributions -- 8.1 Introduction -- 8.2 Easy Aggregation and Gorman Preferences -- 8.2.1 A Numerical Example -- 8.2.2 Gorman Preferences. 8.3 A Simple Heterogeneous Agent Model with Aggregate Certainty -- 8.4 The Stationary Equilibrium of a Heterogeneous Agent Economy -- 8.4.1 Discretization of the Distribution Function -- 8.4.2 Discretization of the Density Function -- 8.4.3 Monte-Carlo Simulation -- 8.4.4 Function Approximation -- 8.5 The Risk-Free Rate -- 8.5.1 The Exchange Economy -- 8.5.2 Computation -- 8.5.3 Results -- 8.6 Heterogeneous Productivity and Income Distribution -- 8.6.1 Empirical Facts on the Income and Wealth Distribution and Income Dynamics -- 8.6.2 The Model -- 8.6.3 Computation -- 8.6.4 Results -- Chapter 9 Dynamics of the Distribution Function -- 9.1 Introduction -- 9.2 Motivation -- 9.3 Transition Dynamics -- 9.3.1 Partial Information -- 9.3.2 Guessing a Finite Time Path for the Factor Prices -- 9.4 Aggregate Uncertainty: The Krusell-Smith Algorithm -- 9.4.1 The Economy -- 9.4.2 Computation -- 9.4.3 Calibration and Numerical Results -- 9.5 Applications -- 9.5.1 Costs of Business Cycles with Indivisibilities and Liquidity Constraints -- 9.5.2 Income Distribution and the Business Cycle -- Chapter 10 Overlapping Generations Models with Perfect Foresight -- 10.1 Introduction -- 10.2 The Steady State in OLG Models -- 10.2.1 An Elementary Model -- 10.2.2 Computational Methods -- 10.2.3 Direct Computation -- 10.2.4 Computation of the Policy Functions -- 10.3 The Laffer Curve -- 10.4 The Transition Path -- 10.4.1 A Stylized 6-Period OLG Model -- 10.4.2 Computation of the Transition Path -- 10.5 The Demographic Transition -- 10.5.1 The Model -- 10.5.2 Calibration -- 10.5.3 Computation -- 10.5.4 Results -- 10.6 Conclusion -- A.10 Derivation of Aggregate Bequests in (10.29) -- Chapter 11 OLG Models with Uncertainty -- 11.1 Introduction -- 11.2 Overlapping Generations Models with Individual Uncertainty -- 11.2.1 The Model -- 11.2.2 Computation of the Stationary Equilibrium. 11.2.3 Multi-Dimensional Individual State Space -- 11.3 Overlapping Generations with Aggregate Uncertainty -- 11.3.1 Perturbation Methods -- 11.3.2 The OLG Model with Quarterly Periods -- 11.3.3 Business Cycle Dynamics of Aggregates and Inequality -- 11.3.4 The Krusell-Smith Algorithm and Overlapping Generations -- A.11 Derivation of the Stationary Dynamic Program of the Household -- A.12 First-Order Conditions of the Stationary Dynamic Program (11.13) -- A.13 Derivation of the Parameters of the AR(1)-Process with Annual Periods -- Part III Numerical Methods -- Chapter 12 Linear Algebra -- 12.1 Introduction -- 12.2 Complex Numbers -- 12.3 Vectors -- 12.4 Norms -- 12.5 Linear Independence -- 12.6 Matrices -- 12.7 Linear and Quadratic Forms -- 12.8 Eigenvalues and Eigenvectors -- 12.9 Matrix Factorization -- 12.9.1 Jordan Factorization -- 12.9.2 Schur Factorization -- 12.9.3 QZ Factorization -- 12.9.4 LU and Cholesky Factorization -- 12.9.5 QR Factorization -- 12.9.6 Singular Value Decomposition -- Chapter 13 Function Approximation -- 13.1 Introduction -- 13.2 Function Spaces -- 13.3 Taylor's Theorem -- 13.4 Implicit Function Theorem -- 13.5 Lagrange Interpolation -- 13.5.1 Polynomials and the Weierstrass Approximation Theorem -- 13.5.2 Lagrange Interpolating Polynomial -- 13.5.3 Drawbacks -- 13.6 Spline Interpolation -- 13.6.1 Linear Splines -- 13.6.2 Cubic Splines -- 13.7 Orthogonal Polynomials -- 13.7.1 Orthogonality in Euclidean Space -- 13.7.2 Orthogonality in Function Spaces -- 13.7.3 Orthogonal Interpolation -- 13.7.4 Families of Orthogonal Polynomials -- 13.8 Chebyshev Polynomials -- 13.8.1 Definition -- 13.8.2 Zeros and Extrema -- 13.8.3 Orthogonality -- 13.8.4 Chebyshev Regression -- 13.8.5 Chebyshev Evaluation -- 13.8.6 Examples -- 13.9 Multivariate Extensions -- 13.9.1 Tensor Product and Complete Polynomials. 13.9.2 Multidimensional Splines. |
| Record Nr. | UNINA-9910841873003321 |
Heer Burkhard
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| Cham : , : Springer International Publishing AG, , 2024 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Economia e auto-organizzazione / Paul Krugman ; a cura di Marco Arnone e Fabio Jeran
| Economia e auto-organizzazione / Paul Krugman ; a cura di Marco Arnone e Fabio Jeran |
| Autore | KRUGMAN, Paul R. |
| Pubbl/distr/stampa | Milano : Giuffráe, copyt.2000. |
| Descrizione fisica | IX, 142 p. ; 23 cm |
| Disciplina | 330.015118 |
| Collana | Testi scelti di economia |
| Soggetto topico |
Economia - Modelli matematici
Sistemi |
| ISBN | 88-14-07949-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISA-990000088380203316 |
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KRUGMAN, Paul R.
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| Milano : Giuffráe, copyt.2000. | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Empirical modeling in economics : specification and evaluation / Clive W.G. Granger
| Empirical modeling in economics : specification and evaluation / Clive W.G. Granger |
| Autore | Granger, Clive William John <1934-2009> |
| Pubbl/distr/stampa | Cambridge : Cambridge University Press, 1999 |
| Descrizione fisica | XII, 99 p. ; 22 cm |
| Disciplina | 330.015118 |
| Soggetto non controllato | Econometria |
| ISBN | 0521778255 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990003737490403321 |
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Granger, Clive William John <1934-2009>
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| Cambridge : Cambridge University Press, 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Empirical modeling in economics : specification and evaluation / / Clive W.J. Granger [[electronic resource]]
| Empirical modeling in economics : specification and evaluation / / Clive W.J. Granger [[electronic resource]] |
| Autore | Granger C. W. J (Clive William John), <1934-2009, > |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 1999 |
| Descrizione fisica | 1 online resource (xii, 99 pages) : digital, PDF file(s) |
| Disciplina | 330.015118 |
| Soggetto topico |
Economics - Mathematical models
Econometrics - Evaluation |
| ISBN |
1-107-11841-7
1-280-15896-4 0-511-11814-7 0-511-14944-1 0-511-32446-4 0-511-49232-4 0-511-04891-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Foreword / G.C. Harcourt -- 1. The specification of empirical models -- 2. The evaluation of empirical models -- 3. Comments on the evaluation of econometric models and of forecasts. |
| Record Nr. | UNINA-9910454943603321 |
|
Granger C. W. J (Clive William John), <1934-2009, >
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||
| Cambridge : , : Cambridge University Press, , 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Empirical modeling in economics : specification and evaluation / / Clive W.J. Granger [[electronic resource]]
| Empirical modeling in economics : specification and evaluation / / Clive W.J. Granger [[electronic resource]] |
| Autore | Granger C. W. J (Clive William John), <1934-2009, > |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 1999 |
| Descrizione fisica | 1 online resource (xii, 99 pages) : digital, PDF file(s) |
| Disciplina | 330.015118 |
| Soggetto topico |
Economics - Mathematical models
Econometrics - Evaluation |
| ISBN |
1-107-11841-7
1-280-15896-4 0-511-11814-7 0-511-14944-1 0-511-32446-4 0-511-49232-4 0-511-04891-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Foreword / G.C. Harcourt -- 1. The specification of empirical models -- 2. The evaluation of empirical models -- 3. Comments on the evaluation of econometric models and of forecasts. |
| Record Nr. | UNINA-9910780074003321 |
|
Granger C. W. J (Clive William John), <1934-2009, >
|
||
| Cambridge : , : Cambridge University Press, , 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Empirical modeling in economics : specification and evaluation / / Clive W.J. Granger
| Empirical modeling in economics : specification and evaluation / / Clive W.J. Granger |
| Autore | Granger C. W. J (Clive William John), <1934-2009.> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cambridge ; ; New York, : Cambridge University Press, 1999 |
| Descrizione fisica | 1 online resource (xii, 99 pages) : digital, PDF file(s) |
| Disciplina | 330.015118 |
| Soggetto topico |
Econometric models
Economics - Mathematical models Econometrics - Evaluation |
| ISBN |
1-107-11841-7
1-280-15896-4 0-511-11814-7 0-511-14944-1 0-511-32446-4 0-511-49232-4 0-511-04891-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Foreword / G.C. Harcourt -- 1. The specification of empirical models -- 2. The evaluation of empirical models -- 3. Comments on the evaluation of econometric models and of forecasts. |
| Record Nr. | UNINA-9910809510703321 |
|
Granger C. W. J (Clive William John), <1934-2009.>
|
||
| Cambridge ; ; New York, : Cambridge University Press, 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fundamentals of model construction in macro-economics / Andreas G. Papandreou
| Fundamentals of model construction in macro-economics / Andreas G. Papandreou |
| Autore | Papandreou, Andreas G. |
| Pubbl/distr/stampa | Athens, : [Serbinis press], 1962 |
| Descrizione fisica | X, 172 p. ; 21 cm. |
| Disciplina | 330.015118 |
| Collana | Training seminar series |
| Soggetto topico | Economia - Modelli matematici |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISANNIO-RMS2526381 |
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Papandreou, Andreas G.
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| Athens, : [Serbinis press], 1962 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Sannio | ||
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The handbook of financial modeling : a practical approach to creating and implementing valuation projection models / / Jack Avon
| The handbook of financial modeling : a practical approach to creating and implementing valuation projection models / / Jack Avon |
| Autore | Avon Jack |
| Edizione | [Second edition.] |
| Pubbl/distr/stampa | New York, New York State : , : APress, , [2021] |
| Descrizione fisica | 1 online resource (XII, 351 p. 225 illus.) |
| Disciplina | 330.015118 |
| Soggetto topico |
Finance - Mathematical models
Visual Basic (Computer program language) |
| ISBN |
1-5231-5073-4
1-4842-6540-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. The Role of Financial Modelers today -- 2. Types of Financial Models -- 3. Review of Best Practices for Modeling -- 4. The Modeling Lifecycle explained -- 5. Planning and designing models -- 6. It's All About the Model Outputs -- 7. Model Build -- 8. Financial Modeling and Accountancy -- 9. The Implications and Rules of Accounting for Modelers -- 10. Modeling Scenarios Explained -- 11. Calculations for Financial Modelers -- 12. The Importance of Documentation -- 13. Model Stress Testing -- 14. Model Audit and Review -- 15. The Role of VBA in Financial Models -- 16. Operis -- 17. Financial Modelling, Where Next? -- Appendix A: Modelling Glossary and Terminology -- Appendix B: Ready-Made Functions -- Appendix C: References. . |
| Record Nr. | UNINA-9910483490503321 |
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Avon Jack
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| New York, New York State : , : APress, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
How economists model the world into numbers / / Marcel Boumans
| How economists model the world into numbers / / Marcel Boumans |
| Autore | Boumans Marcel |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2005 |
| Descrizione fisica | 1 online resource (221 p.) |
| Disciplina | 330.015118 |
| Collana | Routledge INEM advances in economic methodology |
| Soggetto topico |
Economics, Mathematical
Economics - Mathematical models Econometrics Economics - Methodology - History - 20th century Economics, Mathematical - History - 20th century |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-134-28067-X
1-280-11412-6 0-203-32407-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Book Cover; Title; Copyright; Contents; 1 Introduction; 2 A new practice; 3 Autonomy; 4 Design of experiments; 5 Measurement; 6 Rigour; 7 Conclusions; Notes; Bibliography; Index |
| Record Nr. | UNINA-9910449784003321 |
|
Boumans Marcel
|
||
| London ; ; New York : , : Routledge, , 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
How economists model the world into numbers / / Marcel Boumans
| How economists model the world into numbers / / Marcel Boumans |
| Autore | Boumans Marcel |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2005 |
| Descrizione fisica | 1 online resource (221 p.) |
| Disciplina | 330.015118 |
| Collana | Routledge INEM advances in economic methodology |
| Soggetto topico |
Economics, Mathematical
Economics - Mathematical models Econometrics Economics - Methodology - History - 20th century Economics, Mathematical - History - 20th century |
| ISBN |
1-134-28066-1
1-134-28067-X 1-280-11412-6 0-203-32407-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Book Cover; Title; Copyright; Contents; 1 Introduction; 2 A new practice; 3 Autonomy; 4 Design of experiments; 5 Measurement; 6 Rigour; 7 Conclusions; Notes; Bibliography; Index |
| Record Nr. | UNINA-9910783450203321 |
|
Boumans Marcel
|
||
| London ; ; New York : , : Routledge, , 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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