文章基本信息

标题：Comparing numerical methods for solving the competitive storage model
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作者：Gouel, Christophe
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2010
卷号：SUPPL
出版社：Food Distribution Research Society
摘要：This paper compares numerical methods for solving the competitive storage model. Since storage implies an inequality constraint, the solution methods must be considered carefully. The model is solved using value function iteration, and several projection approaches, including parameterised expectations and decision rules approximation. Using a penalty function approach to smooth the inequality constraint, perturbation methods are also applied. Parameterised expectations proves the most accurate method, while perturbation techniques are shown inadequate for solving this highly nonlinear model. The endogenous grid method allows rapid solution if supply is assumed to be inelastic.
关键词：binding constraint;nonlinear rational expectations models;numerical methods