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- Che-Lin Su, Kenneth L Judd
- 2007

Maximum likelihood estimation of structural models is often viewed as computationally difficult. This impression is due to a focus on the Nested Fixed-Point approach. We present a direct optimization approach to the general problem and show that it is significantly faster than the NFXP approach when applied to the canon-ical Zurcher bus repair model. The… (More)

We present a general method for computing the set of supergame equilibria in inÞnitely repeated games with perfect monitoring and public random-ization. We present a three-step algorithm which constructs a convex set containing the set of equilibrium values, constructs another convex set contained in the set of equilibrium values, and produces strategies… (More)

- Wouter J Den Haan, Kenneth L Judd, Michel Juillard
- 2009

This paper describes the first model considered in the computational suite project that compares different numerical algorithms. It is an incomplete markets economy with a continuum of agents and an inequality (borrowing) constraint. There has been an enormous amount of progress in the development of dynamic stochastic general equilibrium (DSGE) models.… (More)

- Ulrich Doraszelski, Kenneth L Judd, Victor Aguirregabiria, Ken Arrow, Lanier Benkard, Michaela Draganska +6 others
- 2004

Discrete-time stochastic games with a finite number of states have been widely applied to study the strategic interactions among forward-looking players in dynamic environments. However, these games suffer from a " curse of dimensionality " since the cost of computing players' expectations over all possible future states increases exponentially in the… (More)

- He-Hui Jin, Kenneth L Judd
- 2002

We describe a general Taylor series method for computing asymp-totically valid approximations to deterministic and stochastic rational expectations models near the deterministic steady state. Contrary to conventional wisdom, the higher-order terms are conceptually no more difficult to compute than the conventional deterministic linear approximations. We… (More)

- Kenneth L Judd
- 2003

We present an asymptotically valid analysis of a simple optimal growth model with hyper-bolic discounting. We use the implicit function theorem for Banach spaces to show that for small deviations from exponential discounting there is a unique solution near the exponential discounting solution in the Banach space of consumption functions with bounded… (More)

The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. ABSTRACT We develop a projection method that can solve dynamic economic models with a large number of state variables. A distinctive feature of our method is that it operates on the ergodic set realized in equilibrium: we… (More)

- Kenneth L Judd
- 2005

Computer technology presents economists with new tools, but also raises novel methodological issues. This essay discusses the challenges faced by computational researchers, and proposes some solutions.

- Wouter J Den Haan, Kenneth L Judd, Michel Juillard
- 2010

This paper describes the second model considered in the computational suite project that compares the performance of different numerical algorithms. It is a multi-country model in which countries face different productivity shocks. Solving such models is a challenging numerical problem unless the number of countries is small. The solutions are functions of… (More)

We develop numerically stable stochastic simulation approaches for solving dynamic economic models. We rely on standard simulation procedures to simultaneously compute an ergodic distribution of state variables, its support and the associated decision rules. We differ from existing methods, however, in how we use simulation data to approximate decision… (More)