Questions tagged [computation]

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Risks Quantification (soft question)

Can anyone please recommend literature (books, papers, whatever) on the topic of risk quantification? By risk quantification I mean financial assessment of e.g. credit or market risk. Free sources ...
5
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1answer
29 views

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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0answers
57 views

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 ...
4
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1answer
92 views

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 ...
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0answers
40 views

What makes up GDP in the real estate sector?

The global GDP can be slit up between different sectors to see how sectors contributed to economical growth. I'm interested in knowing what elements are used to calculate the GDP in the real estate ...
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0answers
10 views

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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1answer
73 views

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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0answers
48 views

Automation of macroeconomic modelling (DSGE modelling)

There are automation software https://cloud.google.com/automl/ and https://autokeras.com/ that automatically builds and tunes machine learning models and machine (deep) learning pipelines. Are there ...
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2answers
92 views

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. ...
5
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3answers
110 views

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 ...
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1answer
59 views

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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0answers
68 views

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 ...
1
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1answer
88 views

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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3answers
53 views

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 ...
6
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1answer
426 views

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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0answers
17 views

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 ...
5
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6answers
446 views

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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0answers
349 views

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 ...
4
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1answer
673 views

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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2answers
247 views

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, ...
15
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8answers
17k views

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 ...
6
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1answer
148 views

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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0answers
95 views

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 $...
6
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2answers
275 views

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 ...
8
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2answers
1k views

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 ...
3
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2answers
529 views

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 ...
7
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1answer
233 views

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 ...
4
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2answers
88 views

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 ...
4
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1answer
261 views

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 ...
8
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2answers
1k views

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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1answer
384 views

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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3answers
216 views

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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4answers
697 views

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 $k(0)$. ...