Penn State 2013 – Numerical Methods by Ken Judd
April 1, 2, and 3: These lectures will begin with the GSSA paper and end with the EDS paper. You can find Matlab codes for GSSA at http://www.stanford.edu/~maliars/Files/Codes.html.
April 4 and 5: These lectures will go through step-by-step how I am currently setting up a model of R&D. I will discuss the pros and cons of alternatives, calibration, and possible numerical methods. The IER paper attached below is a simple example of what I will be doing. The QE paper is also related since it uses the same dynamic structure.
- EDS notes.pdf
- GSSA notes.pdf
- JMM EDS.pdf
- JMM GSSA SUPP.pdf
- JMM GSSA.pdf
- Judd BlueWatersSymposium2017.pdf
- MaliarMaliar Handbook paper.pdf
DAG: Directed Acyclic Graphs
DAG is a general way to describe workflows. WaveFront is very useful workflow in dynamic economics; my Thursday and Friday lectures will present work that can exploit WaveFront. It is perfect for massive parallel architectures. See attached paper for a discussion of the computer science involved in this.
Students have asked various questions on numerical topics. I have made some pages to respond to those questions
Attached is a recent paper by Thomas Mertens and me on perturbation methods in economies with large numbers of symmetric agents
|Valentina Michaelangeli wrote a very nice thesis which combines MPEC with life-cycle style dynamic programming. Attached are copies of the working paper, appendices, and the final published paper.|