Numerical Methods in Economics

Front Cover
MIT Press, 1998 - Business & Economics - 633 pages
3 Reviews
"Judd's book is a masterpiece which will help transform the way economic theory is done. It harnesses the computer revolution in the service of economic theory by collecting together a whole array of numerical methods to simulate and quantify models that used to be purely algebraic and qualitative."
-- Avinash K. Dixit, Sherrerd University Professor of Economics, Princeton University To harness the full power of computer technology, economists need to use a broad range of mathematical techniques. In this book, Kenneth Judd presents techniques from the numerical analysis and applied mathematics literatures and shows how to use them in economic analyses.

The book is divided into five parts. Part I provides a general introduction. Part II presents basics from numerical analysis on "Rn," including linear equations, iterative methods, optimization, nonlinear equations, approximation methods, numerical integration and differentiation, and Monte Carlo methods. Part III covers methods for dynamic problems, including finite difference methods, projection methods, and numerical dynamic programming. Part IV covers perturbation and asymptotic solution methods. Finally, Part V covers applications to dynamic equilibrium analysis, including solution methods for perfect foresight models and rational expectation models. A web site contains supplementary material including programs and answers to exercises.

  

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Contents

Introduction
3
Elementary Concepts in Numerical Analysis
29
Linear Equations and Iterative Methods
55
Optimization
93
Nonlinear Equations
147
Approximation Methods
195
Numerical Integration and Differentiation
251
Monte Carlo and Simulation Methods
285
Projection Methods for Functional Equations
369
Numerical Dynamic Programming
399
Regular Perturbations of Simple Systems
447
Regular Perturbations in Multidimensional Systems
487
Advanced Asymptotic Methods
511
Solution Methods for Perfect Foresight Models
537
Solving Rational Expectations Models
573
References
609

QuasiMonte Carlo Methods
309
FiniteDifference Methods
335

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About the author (1998)

Judd is a Senior Fellow at the Hoover Institute and an economist specializing in taxation and economic policy in dynamic economies. He earned BA's in mathematics and computer science and a Ph.D. in economics at the University of Wisconsin and is a fellow of the Econometric Society.

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