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Numerical solution by iterative methods of a class of vintage capital models

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Boucekkine, Raouf [UCL] Germain, Marc [UCL] Licandro-Goldaracena, Omar [UCL] Magnus, Alphonse [UCL]

We build up an iterative numerical procedure in order to solve vintage capital growth models with nonlinear utility functions and Leontieff technologies, a class of models intensively used in the literature since the early 1990s. The numerical procedure is of the relaxation type and uses a step-by-step maximization scheme for updating, The procedure is close to the cyclic coordinate descent algorithm as described in the computational mathematics literature. We explain why and how our numerical scheme is suitable to handle the considered class of models. (C) 2001 Elsevier Science B.V, All rights reserved.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2001
Language Anglais
Journal information "Journal of Economic Dynamics and Control" - Vol. 25, no. 5, p. 655-669 (2001)
Peer reviewed yes
Publisher Elsevier Science Bv (Amsterdam)
issn 0165-1889
Publication status Publié
Affiliations UCL - ESPO/ECON - Département des sciences économiques
UCL - MD/ESP - Ecole de santé publique
UCL - FSA/INMA - Département d'ingénierie mathématique
Keywords vintage capital models ; relaxation ; optimization ; cyclic coordinate descent algorithm
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Bibliographic reference Boucekkine, Raouf ; Germain, Marc ; Licandro-Goldaracena, Omar ; Magnus, Alphonse. Numerical solution by iterative methods of a class of vintage capital models. In: Journal of Economic Dynamics and Control, Vol. 25, no. 5, p. 655-669 (2001)
Permanent URL http://hdl.handle.net/2078.1/43077