Work

Back in time. fast. Accelerated time iterations

Year: 2025

Type: article

Abstract: We present an acceleration method to find an approximate solution for a wide class of nonlinear rational expectations models characterized by first order conditions. This method works for any model that can be solved using time-iterations and its convergence is quadratic leading to very sizable computational gains. We illustrate these gains on three benchmark examples.

Source: Journal of Economic Dynamics and Control

DOI: 10.1016/j.jedc.2025.105226

Author: Pablo Winant

Institution: ESCP Business School

Language: English

Topic: Economic theories and models

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,270

OpenAlex ID: W4416958669

FWCI:

Cites: 15

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