Consistency properties of a simulation-based estimator for dynamic processes (2010)
This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a...
Accuracy Properties of the Statistics from Numerical (2007)
Simulations Manuel Santos, Manuel S. Santos
This paper is concerned with the approximation errors involved in the statistics from the sample paths generated by an approximate or computed policy function.
Differentiability of the value function without interiority assumptions (2007)
Rincón-Zapatero, Juan Pablo, Santos, Manuel S.
This paper studies first-order differentiability properties of the value function in concave dynamic programs. Motivated by economic considerations, we dispense with commonly imposed interiority...
Convergence Properties of the Likelihood of Computed Dynamic Models (2006)
Jesús Fernández-Villaverde, Juan F. Rubio-Ramírez, Manuel S. Santos
This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the...
Jesús Fernández-villaverde, Juan F. Rubio-ramírez, Manuel S. Santos, We Thank The, Three Referees, Jim Nason, ...
several seminars, and especially Lee Ohanian for useful comments. Jesús Fernández-Villaverde thanks the NSF for financial support under the project SES-0338997. Any views expressed herein are those...
Accuracy of simulations for stochastic dynamic models (2003)
Santos, Manuel S., Peralta Alva, Adrián
This paper provides a general framework for the simulation of stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a generalized law of large...
Simulation-based estimation of dynamic models with continuous equilibrium solutions (2003)
This paper presents several results on consistency properties of simulation-based estimators for a general class of dynamic models with continuous laws of motion. The consistency of these estimators...
Accuracy of simulations for stochastic dynamic models (2003)
Santos, Manuel S., Peralta Alva, Adrian
This paper provides a general framework for the simulation of stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a generalized law of large...
Simulation-based estimation of dynamic models with continuous equilibrium solutions (2003)
This paper presents several results on consistency properties of simulation-based estimators for a general class of dynamic models with continuous laws of motion. The consistency of these estimators...
Accuracy of numerical solutions using the eulers equation residuals (1998)
In this paper we derive sorne asymptotic properties on the accuracy of numerical solutions. We sIlow tIlat the approximation error of the policy function is of the same order of magnitude as the size...
A two-sector model of endogenous growth with leisure (1995)
Ladrón De Guevara, Antonio, Ortigueira, Salvador, Santos, Manuel S.
In this paper we analyze a class of endogenous growth models with physical and human capital and with three altematives uses of time: unqualified leisure, work and education. In contrast to some...
Rational asset pricing bubbles (1995)
Santos, Manuel S., Woodford, Michael
This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework. Our main...
On convergence in endogenous growth models (1994)
Ortiguera, Salvador, Santos, Manuel S.
In this paper we analyze the rate of convergence to a balanced path in a class of endogenous growth models with physical and human capital. We show that such rate depends locally on the technological...
Equilibrium dynamics in two-sector models of endogenous growth (1994)
Ladrón De Guevara, Antonio, Ortigueira, Salvador, Santos, Manuel S.
This paper presents an account of the dynamics of endogenous growth models with physical capital and human capital. We consider some important extensions of the basic framework of Lucas (1988) and...
On expenditure functions (1994)
Martínez Legaz, Juan Enrrique, Santos, Manuel S.
In this paper we present complete characterizations of the expenditure function for both utility representations and preference structures. Building upon these results, we also establish under...
On the policy function in continuos time economic models (1991)
In this paper, I consider a general class of continuous-time economic models with unbounded horizon. I study the sets of conditions under which the policy function is continuous, Lipschitz...
Numerical solution of dynamic economic models
Santos, Manuel S., J. B. Taylor, M. Woodford
This chapter is concerned with numerical simulation of dynamic economic models. We focus on some basic algorithms and assess their accuracy and stability properties. This analysis is useful for an...
On Endogenous Growth with Physical and Human Capital.
Caballe, Jordi, Santos, Manuel S
This paper presents a class of models in which agents may devote part of their nonleisure activities to going to school so as to increase the efficiency units of labor they supply to the firms and...
Accuracy of Simulations for Stochastic Dynamic Models
Manuel S. Santos, Adrian Peralta-Alva
This paper is concerned with accuracy properties of simulations of approximate solutions for stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a...
Convergence Properties of the Likelihood of Computed Dynamic Models
Jesús Fernández-Villaverde, Juan F. Rubio-Ramírez, Manuel S. Santos
This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the...
On the Role of Computation in Economic Theory
Jerry L. Bona, Manuel S. Santos
The principal aim of this article is to provide commentary on the use of high-performance computers combined with numerical algorithms in the investigation of mathematical models of economic...
Differentiability of the value function without interiority assumptions
Juan Pablo Rincon-Zapatero, Manuel S. Santos
This paper studies first-order differentiability properties of the value function in concave dynamic programs. Motivated by economic considerations, we dispense with commonly imposed interiority...
On the Speed of Convergence in Endogenous Growth Models.
Ortigueira, Salvador, Santos, Manuel S
In this paper, the authors analyze the speed of convergence to a balanced path in a class of endogenous growth models with physical and human capital. They show that such rate depends locally on the...
Existence of Equilibria for Monetary Economies.
This paper is concerned with the existence of monetary equilibria of overlapping generations economies. For the usual model of economies of this type, if money is normalized to have a unit value...
Smooth Dynamics and Computation in Models of Economic Growth
In this paper we give an overview of the differentiability properties of the value and policy functions of dynamic programming. Based upon the differentiability analysis, we also establish...
Rational Asset Pricing Bubbles
Manuel S. Santos, Michael Woodford
This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework. Our main...
Error Bounds for a Numerical Solution for Dynamic Economic Models
In this paper we analyze a discretized version of the dynamic programming algorithm for a parameterized family of infinite-horizon economic models, and derive error bounds for the approximate value...
Accuracy Estimates for a Numerical Approach to Stochastic Growth Models
In this paper we develop a discretized version of the dynamic programming algorithm and derive error bounds for the approximate value and policy functions. We show that under the proposed scheme the...
Equilibrium dynamics in two-sector models of endogenous growth
Ladron-de-Guevara, Antonio, Ortigueira, Salvador, Santos, Manuel S.
Consistency Properties of a Simulation-Base Estimator for Dynamic Processes
This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. These results are of interest for...
Moving the Goalposts: Differentiability of the Value Function without Interiority Assumptions
Manuel S. Santos, Juan Pablo Rincon-Zapatero
This paper studies first–order differentiability properties of the value function in concave dynamic programs. Motivated by economic considerations, we dispense with commonly imposed interiority...
SIMULATION-BASED ESTIMATION OF DYNAMIC MODELS WITH CONTINUOUS EQUILIBRIUM SOLUTIONS
This paper presents several results on consistency properties of simulation-based estimators for a general class of dynamic models with continuous laws of motion. The consistency of these estimators...
ACCURACY OF SIMULATIONS FOR STOCHASTIC DYNAMIC MODELS
Manuel S. Santos, Adrian Peralta-Alva
This paper provides a general framework for the simulation of stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a generalized law of large...
A Two-Sector Model of Endogenous Growth with Leisure.
Ladron-de-Guevara, Antonio, Ortigueira, Salvador, Santos, Manuel S
This paper analyses the equilibrium dynamics of an endogenous growth model with physical and human capital in which leisure enters the utility function. The inclusion of leisure introduces a...
Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models
Manuel S. Santos, Jesus Vigo-Aguiar
In this paper, the authors develop a discretized version of the dynamic programming algorithm and study its convergence and stability properties. They show that the computed value function converges...
Rational Asset Pricing Bubbles
Manuel S. Santos, Michael Woodford
This paper provides a fairly systematic study of rational asset pricing bubbles in an intertemporal competitive equilibrium framework that allows for incomplete markets, productive assets, borrowing...
Smoothness of the Policy Function in Discrete Time Economic Models.
The theory applying to dynamic programming has furnished a useful set of techniques for the analysis of many types of sequential models. This theory, however, has not yielded heretofore much...
Equilibrium Dynamics in Two-Sector Models of Endogenous Growth
Antonio Ladron De Guevara, Salvador Ortigueira, Manuel S. Santos
Recent research has focused on the dynamics of the Lucas-Uzawa model of endogenous growth (e.g., Caballé-Santos (1993), Chamley (1993) and Faig (1993)). This model allows for permanent growth of...
On Convergence in Endogenous Growth Models
Salvador Ortigueira, Manuel S. Santos
In this paper we analyze the rate of convergence to a balanced path in a class of endogenous growth models with physical and human capital. We show that such rate depends locally on the technological...
Accuracy estimates for a numerical approach to stochastic growth models
In this paper we develop a discretized version of the dynamic programming algorithm and derive error bounds for the approximate value and policy functions. We show that under the proposed scheme the...
Duality between Direct and Indirect Preferences.
Martinez-Legaz, Juan-Enrique, Santos, Manuel S
This paper develops a duality theory for preference orders, and highlights important differences with respect to the cardinal utility approach. Our main result is a symmetric duality theorem, under...
On High-Order Differentiability of the Policy Function.
This note presents some results concerning high-order differentiability of the policy function. It is shown that simple examples of cubic return functions may yield optimal policies which under...
On some criteria for the formulation and testing of economic growth models
This paper presents a methodology for the formulation and testing of economic growth models. The model selected includes two production sectors with physical and human capital accumulation. These...
Equilibrium Dynamics in a Two-Sector Model with Taxes
Ortigueira, Salvador, Santos, Manuel S.
In this paper we are concerned with the equilibrium dynamics of a two-sector model of endogenous growth with distortionary taxes. We show that for certain parameters values and tax schemes every...
Numerical simulation of nonoptimal dynamic equilibrium models
Zhigang Feng, Jianjun Miao, Adrian Peralta-Alva, Manuel S. Santos
In this paper we present a recursive method for the computation of dynamic competitive equilibria in models with heterogeneous agents and market frictions. This method is based on a convergent...
Numerical simulation of nonoptimal dynamic equilibrium models
Zhigang Feng, Jianjun Miao, Adrian Peralta-Alva, Manuel S. Santos
In this paper we present a recursive method for the computation of dynamic competitive equilibria in models with heterogeneous agents and market frictions. This method is based on a convergent...
Problems in the numerical simulation of models with heterogeneous agents and economic distortions
Adrian Peralta-Alva, Manuel S. Santos
Our work has been concerned with the numerical simulation of dynamic economies with heterogeneous agents and economic distortions. Recent research has drawn attention to inherent difficulties in the...
Differentiability of the value function without interiority assumptions
Rincón-Zapatero, Juan Pablo, Santos, Manuel S.
This paper studies first-order differentiability properties of the value function in concave dynamic programs. Motivated by economic considerations, we dispense with commonly imposed interiority...
Problems in the numerical simulation of models with heterogeneous agents and economic distortions
Adrian Peralta-Alva, Manuel S. Santos
Our work has been concerned with the numerical simulation of dynamic economies with heterogeneous agents and economic distortions. Recent research has drawn attention to inherent difficulties in the...
Long Term Asset Price Volatility and Macroeconomic Fluctuations
Miguel A. Iraola, Manuel S. Santos
We analyze a stochastic growth model with lags in the operation of new technologies. Stock values are impacted by news on technological innovations and some other external shocks affecting the...
Problems in the Numerical Simulation of Models with Heterogeneous Agents and Economic Distortions
Adrian Peralta - Alva, Manuel S. Santos
Our work has been concerned with the numerical simulation of dynamic economies with heterogeneous agents and economic distortions. Recent research has drawn attention to inherent difficulties in the...
Consistency properties of a simulation-based estimator for dynamic processes
This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a...
Numerical Simulation of Nonoptimal Dynamic Equilibrium Models
Zhigang Feng, Jianjun Miao, Adrian Peralta-Alva, Manuel S. Santos
In this paper we present a recursive method for the computation of dynamic competitive equilibria in models with heterogeneous agents and market frictions. This method is based on a convergent...