Questions tagged [computation]
The computation tag has no usage guidance.
38
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Algorithmic game theory and decentralized exchange of information
An intresting topic that I want to understad has to do with the decentralized exchange of information among a network of agents, however there is not a specific theory to make such a mathematical ...
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1
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Opportunities for Computer Science Graduates in the Field of Economics [closed]
I know this question has been asked quite a few times already but I have several other different questions to ask too. So, I am asking all of them here.
Let me give you a quick summary of my ...
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Solving Rational Expectation Models Linear vs. Nonlinear
Since I am coding some linear New Keynesian models in python and solving them under rational expectations (using the method of undetermined coefficients/linear time iteration), I was wondering whether ...
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1
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Macroeconomic model or knowledge base representing connected industries in the world
I'm looking for data (model, Expert system, knowledge base) that describes how different industries and countries interact with each other. And the nature of the relationship between them.
An example ...
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Recursive Models of dynamic linear economics (Hansen / Sargent, 2014) - optimal linear regulator problem / solution of bellman equation p. 34 ff
The optimal linear regulator problem according to Hansen/Sargent, 2014, Recursive models of dynamic linear economies, on page 34 ff. is stated as follows:
$-E\sum_{t=0}^{\infty}\beta^t[x_t' R x_t+u_t'...
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2
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343
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Compute yield to maturity for a bond with coupons when price is different from face value
Given the formula $P = \sum_{t=1}^n \frac{CF_t}{(1+i)^t} $
we can apply it to the case of a bond with constant coupons so that :
$\displaystyle P =\sum_{t=1}^n \frac{C}{(1+i)^t} + \frac{FV}{(1+i)^...
- 282
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0
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70
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Constancy of current value Hamiltonian and numeric computations
I am playing with a simple, continuous time optimal growth problem to learn optimal control. The social planner chooses $c_t$ to maximize:
$$\int_0^\infty e^{-\rho t}u(c_t)dt$$
where
$$\dot k_t=f(k_t)-...
- 11
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2
answers
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What are macro-economics simulations horizons and limits possible with exascale computing?
What are typical examples in literature of large scale simulations of macro-economies of our time as of 2019 and what will change with the introduction of exascale computing? In terms, are there ...
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1
answer
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Stable marriage problem with transferable utilities
I'm looking for a package or a code (preferably in R) that finds the solution to the stable marriage problem with transferable utilities (Shapley and Shubik 1971). Specifically, I'm looking for one or ...
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Generalized method of moments in Dynare
I am new to dynare. I am trying to replicate the calibration of the paper 'Structural transformation and aggregate productivity' by Margarida Duarte and Diego Restuccia. (Picture attached)
In this ...
- 499
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1
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322
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Computing pure strategy Nash equilibria in finite games
I am trying to compute the (pure strategy) Nash equilibria of some discrete auctions.
More precisely, let us define the strategy of each player as a function mapping from every valuation that they ...
user17900
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0
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Optimal Tax Rates on BGP
I was going through this paper by Aghion et al. I wanted some clarification on some of the computations. I understood the process uptil the normalization on page 22. Then we can get some policy rules ...
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2
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1
answer
151
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Statistical Learning and Econometrics
The principal goal of Econometrics is to find causal effects between economic variables. But the growing technology level seems to show us that Big Data and Statistical Learning result in a tradeoff ...
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2
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120
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Simplest model of an economy exhibiting (hyper)inflation
I would like to find a minimal mathematical model for describing financial crises of the type that produces hyperinflation.
Here's a naive attempt, just to give the idea of what I'm thinking of.
...
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3
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129
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Could markets compute equilibria?
It has been shown, for example in the papers
Deng, Du, The Computation of Approximate Competitive Equilibrium is PPAD-hard
Hirsch, Papadimitriou, Vavasis, Exponential Lower Bounds for Finding Brouwer ...
- 151
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1
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What are some examples of modern economic research that integrate economics and computer science?
I am entering my first year of graduate studies in Economics this fall and I'm curious about which areas of economic research utilize various fields of computer science (e.g. Machine Learning, Graph ...
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Simulating the economy - is it an active field of research?
The question revolves around another motivating question: How does economics become more effective at predicting the behavior of the macro economy? For example, how does economics develop methods that ...
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1
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CARA Coefficient Calculation
Consider the following scenario:
A consumer with CARA (constant absolute risk aversion) claims that she is indifferent between "getting ＄2400 for sure" and "getting ＄5000 or ＄0, each with 50% ...
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2
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Converting per capita growth rates for subgroups into contribution to total per capita growth rate
You are given total debt for the second quarter of 2003 and the second quarter of 2004 for the overall population and four age groups. The four age groups collectively account for the entire ...
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1
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Where do computational economists work
Does anybody know what kind of work or where computational economists end up working? It seems most end up in research...
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Multi-dimensional interpolation routine that preserves shape AND differentiability
I am looking at two-dimensional gridded data from a kinked function, but need to make it smooth. Is there a two-dimensional version of the Schumaker-routine? I would also greatly appreciate pointers ...
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6
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1k
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Create simple graphs without functional forms
I am looking for a suggestion of programs that can be used to illustrate effects like the income/substitution effect with regards to the consumption choice etc.
With many programs, need you to ...
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398
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Which economic game theory model is most similar to poker?
Propeties the model should have:
Well motivated: the game is actually is a plausible model of a real world situation. Maybe with some parameters learnt from data.
Complete: it is a complete game ...
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2
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1k
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Matlab code example for piecewise linear approximation and Euler Equation Iteration
Where I can find a good Matlab sample code that performs Euler equation iteration with piece-wise linear approximation of policy functions?
The Projection method I have in mind is something like ...
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2
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350
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Book recommendation: agent based modeling?
Is there a book along these criteria?
introductory
discuss both theory and writing program
focus on social science (economics / politics / sociology)
There are bunch of tutorials on the Internet, ...
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8
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Most common programs used by Economists
I recently asked a professor if he was planning on hiring a research assistant for next semester. I thought I'd be a pretty good candidate since I have decent experience using STATA, SAS, SPSS, R ...
8
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1
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249
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Splittet Value Function and Hamilton-Jacobi-Bellman equation
General Problem
Let $k\in\mathbb{R}_+$ be the state variable, $k=k^*$ a fixed point (saddle) and $v(k)$ a value function. The problem is, that the value function has two distinct functional forms, ...
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Solving this system of ODE
I have the following system of equations
$$ \rho V(u, \epsilon^i) = F(u, \epsilon^i) + V_u(u, \epsilon^i)g(u, V(u, \epsilon^i) + \lambda^i \left(V(u, \epsilon^{-i}) - V(u, \epsilon^i)\right)$$
with $...
- 10.7k
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2
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315
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Solving Kaplan and Menzio: Shopping Time
Kaplan and Menzio's shopping time model is a search&matching unemployment model where we, for a steady state equilibrium, need to determine to variables:
$J$: Value of a worker
$u$: unemployment ...
- 10.7k
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2
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1k
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Transition Matrix: Discrete -> Continuous Time
I have the code corresponding to Tauchen (1986) (Python equivalent of this), which generates a discrete approximation of a discrete time AR(1) process.
For example, if you set up grid size as 3, it ...
- 10.7k
4
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2
answers
770
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What resources are available for learning Dynare?
What resources are available for learning Dynare? I think it'd be nice to put together a list of resources that available to those new to Dynare. I've had a little experience with it but it'd be nice ...
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1
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Is there always a pure Nash equilibrium in a resource selection game?
Denote $[r]\triangleq\{1,2,\ldots,r\}$.
Consider a game with $n$ players, $[n]$, each has $m$ strategies, $[m]$.
Each player $i$ has an associated payoff function, which considers only his selected ...
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How to make unequally spaced grid?
I want to make a grid [0,1] with 100 points but I want points to be concentrated at the edges close to 0 and 1. So I want 60-70% of the points to be in the intervals [0, 0.2] and [0.8, 1]. Any ideas ...
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How to approximate stochastic volatility model with finite-state Markov chain?
A common practice when computing solutions to stochastic dynamic optimization problems is to approximate an exogenous forcing process $z_{t+1} = \rho z_t + \sigma \epsilon_{t+1}$ with a finite-state ...
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2
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Can Dynare solve general equilibrium (GE) models with non-convex adjustment costs?
I know that Dynare (which sits on top of Matlab) can solve many kinds of dynamic stochastic general equilibrium (DSGE) and overlapping generations (OLG) models. I also know that Dynare can handle some ...
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2
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1
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Solving an OLG model, value function iteration vs. projection (chebyshev polynomial)
I can't decide between using value function iteration or projection on chebyshev polynomials.
I'm inclined to use projection, however I need to compute (for welfare analysis) the value of the value ...
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3
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Computational economics
What exactly is computational economics? For example, does certain software for calculating/predicting/visualizing cost of manufacture falls under computational economics?
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Simulating a Hamilton-Jacobi-Bellman
Say I have solved an HJB of the form:
$\rho V(k) = \max_c g(c) + V'(k)(z - c)$
I have calibrated $\rho$ to monthly parameters. I would like to simulate the development of $k$. I start with $k(0)$. ...
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