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 R^n,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.
Review
"Judd's book is a masterpiece which will help transform the way economictheory is done. It harnesses the computer revolution in the service ofeconomic theory by collecting together a whole array of numerical methodsto simulate and quantify models that used to be purely algebraic andqualitative." Avinash K. Dixit , Sherrerd University Professor of Economics, Princeton University
About the Author
Kenneth L. Judd is a Senior Fellow at the Hoover Institution.
This is the type of book I've been looking for for a long time: It tells you directly what problems are solved by numerical approximation, what methods have been developed for such applications, how to use them, what to watch out for and most importantly, what "tricks" are available to make things easier - this is something you will never pick up in an academic paper and in very few courses.
The structure is very illuminating: simple examples of common problems are followed by generalized versions which are usefull for anyone to apply to their own work. Care is taken to point out the strenghts and weaknesses of various procedures so that the best one can be selected.
As to the critisisms that it does not go deep enough: its not supposed to. It covers in enough detail most (all) of the important methods used by the top economic researchers today, and if the problem you are working on requires more detail than is in the text, precise and extensive references are provided to further understand that particular area.
A very practical and forthright book.
Product Details :
- Hardcover: 633 pages
- Publisher: The MIT Press (October 27, 1998)
- Language: English
- ISBN-10: 0262100711
- ISBN-13: 978-0262100717
- Product Dimensions: 1.1 x 7.1 x 9.1 inches
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