A Theory of Pruning

12 Pages Posted: 14 Nov 2018

See all articles by Giovanni Lombardo

Giovanni Lombardo

Bank for International Settlements (BIS)

Harald Uhlig

University of Chicago - Department of Economics

Date Written: November 2018


Often, numerical simulations for dynamic, stochastic models in economics are needed. Kim et al. (Journal of Economic Dynamics and Control 32 2008, 3397–414) proposed “pruning” to deal with the challenge of generating explosive paths when employing second‐order approximations. In this article, we provide a theory of pruning and formulas for pruning of any order. Our approach builds on Judd's Numerical Methods in Economics (1998), chapter 13. We provide a comparison to existing methods.

Suggested Citation

Lombardo, Giovanni and Uhlig, Harald, A Theory of Pruning (November 2018). International Economic Review, Vol. 59, Issue 4, pp. 1825-1836, 2018, Available at SSRN: https://ssrn.com/abstract=3283998 or http://dx.doi.org/10.1111/iere.12321

Giovanni Lombardo (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002

Harald Uhlig

University of Chicago - Department of Economics ( email )

1101 East 58th Street
Chicago, IL 60637
United States

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