Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296337 
Year of Publication: 
2023
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 14 [Issue:] 2 [Year:] 2023 [Pages:] 651-687
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state variables, a wide state space, and occasionally binding constraints. With the SCEQ method, a desk- top computer will suffice for large problems, but it can also use parallel tools ef- ficiently. The SCEQ method is simple, stable, and can utilize any solver, making it suitable for solving complex economic problems that cannot be solved by other algorithms.
Subjects: 
Stochastic dynamic programming
competitive equilibrium
large- scale model
integrated assessment model
new Keynesian model
zero lower bound
occasionally binding constraint
nonstationary problem
parallelism
JEL: 
C61
C63
C68
Q54
Q58
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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