93,182 research outputs found
Accuracy of numerical solutions using the eulers equation residuals
In this paper we derive sorne asymptotic properties on the accuracy of numerical solutions. We sIlow tIlat the approximation error of the policy function is of the same order of magnitude as the size of the Euler equation residuals. Moreover, for bounding this approximation error tIle most relevant parameters are the discount factor and the curvature of the return function. These findings provide theoretical foundations for the construction of tests that can assess the performance of alternative computational methods
On the policy function in continuos time economic models
In this paper, I consider a general class of continuous-time economic models with unbounded horizon. I study the sets of conditions under which the policy function is continuous, Lipschitz continuous, and Cl differentiable. 1 also single out certain postulates which may prevent higher-order differentiability. The analysis provides, therefore, a fmn foundation to the use of dynamic programming methods in continuous time models with unbounded horizo
Consistency properties of a simulation-based estimator for dynamic processes
This paper considers a simulation-based estimator for a general class of
Markovian processes and explores some strong consistency properties of the
estimator. The estimation problem is defined over a continuum of invariant
distributions indexed by a vector of parameters. A key step in the method of
proof is to show the uniform convergence (a.s.) of a family of sample
distributions over the domain of parameters. This uniform convergence holds
under mild continuity and monotonicity conditions on the dynamic process. The
estimator is applied to an asset pricing model with technology adoption. A
challenge for this model is to generate the observed high volatility of stock
markets along with the much lower volatility of other real economic aggregates.Comment: Published in at http://dx.doi.org/10.1214/09-AAP608 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org
The relevance of random choice in tests of Bell inequalities with atomic qubits
It is pointed out that a loophole exists in experimental tests of Bell
inequality using atomic qubits, due to possible errors in the rotation angles
of the atomic states. A sufficient condition is derived for closing the
loophole
Rational asset pricing bubbles
This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework. Our main results are concerned with non-existence of asset pricing bubbles in those economies. These results imply that the conditions under which bubbles are possible inc1uding sorne well-known examples of monetary equilibria-are relatively fragile
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