A comparison of numerical methods for the solution of continuous-time DSGE models

摘要: This paper evaluates the accuracy of a set techniques that approximate solution continuous-time DSGE models. Using neoclassical growth model I compare linear-quadratic, perturbation and projection methods. All are applied to HJB equation optimality conditions dene general equilibrium economy. Two cases studied depending on whether closed form is available. also analyze how dierent degrees non-linearities aect approximated solution. The results encourage use perturbations for reasonable values structural parameters suggest methods when high degree required.