111,083 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
Multi-integral representations for associated Legendre and Ferrers functions
For the associated Legendre and Ferrers functions of the first and second
kind, we obtain new multi-derivative and multi-integral representation
formulas. The multi-integral representation formulas that we derive for these
functions generalize some classical multi-integration formulas. As a result of
the determination of these formulae, we compute some interesting special values
and integral representations for certain particular combinations of the degree
and order including the case where there is symmetry and antisymmetry for the
degree and order parameters. As a consequence of our analysis, we obtain some
new results for the associated Legendre function of the second kind including
parameter values for which this function is identically zero.Comment: 22 page
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