The accuracy of the solution of dynamic general equilibrium models has become a major issue. Recent papers, in which second-order
approximations have been substituted for first-order, indicate that this change may yield a significant improvement in accuracy.
Second order approximations have been used with considerable success when solving for the decision variables in both small
and large-scale models. Additionally, the issue of accuracy is relevant for the approximate solution of value functions. In
numerous dynamic decision problems, welfare is usually computed via this same approximation procedure. However, Kim and Kim
(Journal of International Economics, 60, 471–500, 2003) have found a reversal of welfare ordering when they moved from first- to second-order approximations.
Other researchers, studying the impact of monetary and fiscal policy on welfare, have faced similar challenges with respect
to the accuracy of approximations of the value function. Employing a base-line stochastic growth model, this paper compares
the accuracy of second-order approximations and dynamic programming solutions for both the decision variable and the value
function as well. We find that, in a neighborhood of the equilibrium, the second-order approximation method performs satisfactorily;
however, on larger regions, dynamic programming performs significantly better with respect to both the decision variable and
the value function.
We want to thank Jinill Kim and Harald Uhlig for discussions and a referee of the Journal for extensive comments on a previous
version of our paper. 相似文献
The aim of this paper is to develop an optimal long-term bond investment strategy which can be applied to real market situations.
This paper employs Merton’s intertemporal framework to accommodate the features of a stochastic interest rate and the time-varying
dynamics of bond returns. The long-term investors encounter a partial information problem where they can only observe the
market bond prices but not the driving factors of the variability of the interest rate and the bond return dynamics. With
the assumption of Gaussian factor dynamics, we are able to develop an analytical solution for the optimal long-term investment
strategies under the case of full information. To apply the best theoretical investment strategy to the real market we need
to be aware of the existence of measurement errors representing the gap between theoretical and empirical models. We estimate
the model based on data for the German securities market and then the estimation results are employed to develop long-term
bond investment strategies. Because of the presence of measurement errors, we provide a simulation study to examine the performance
of the best theoretical investment strategy. We find that the measurement errors have a great impact on the optimality of
the investment strategies and that under certain circumstance the best theoretical investment strategies may not perform so
well in a real market situation. In the simulation study, we also investigate the role of information about the variability
of the stochastic interest rate and the bond return dynamics. Our results show that this information can indeed be used to
advantage in making sensible long-term investment decisions. 相似文献
Scour related to bridge hydraulics received much attention in the past decade, including its relation to flood hydrology and hydraulic processes in addition to steady flow. This paper presents new research on bridge pier and abutment scour based on a large data set collected at ETH Zurich, Switzerland. In total six different sediments were tested, of which three were uniform. Also a large variety of scour elements were considered, from 1 to 60% of the channel width, and flow depths ranging from 1 to about 40% of the channel width. Using similarity arguments and the analogy to flow resistance, an equation for temporal scour evolution is proposed and verified with the available literature data. The agreement of the present scour equation with both the VAW data and the literature data were considered sufficient in terms of river engineering accuracy, provided limitations relating to hydraulic, granulometric, and geometrical parameters are satisfied. These limitations are discussed and refer particularly to effects of viscosity, which were excluded in the present scour equation. 相似文献
It remains an ongoing task to quantify the uncertainty of continuous measuring systems at WWTPs during field operation. The commonly used methods are based on lab experiments under standardized conditions and are only suitable for characterizing the measuring device itself. For measuring devices under field conditions, a knowledge of the response time, trueness and precision is equally important.
A method is proposed which can be used to characterize newly installed on-line sensors or to evaluate monitoring data which may contain systematic errors. The concept is based on comparative measurements between the sensor and a reference. A linear regression is used to differentiate between trueness and precision. Various statistical tests are conducted to validate the preconditions of linear regression. The information about the trueness and precision of the measuring system under field conditions helps to adapt control strategies more effectively to the relevant processes and permits sophisticated control concepts. Moreover, the concept can help to define guidelines for evaluating the uncertainties of effluent quality monitoring to overcome the concerns about on-line sensors, improve the trust in these systems and to allow the use of continuously measuring systems for legislative purposes.
The approach is discussed in detail in this paper and all statistical tests and formulas are listed in the Appendix. 相似文献
An einer Bramme aus einer Schmelze des Stahles 22 NiMoCr 3 7 mit rd. 0,2% C, 0,6% Mn, 0,45% Cr, 0,6% Mo und 0,95% Ni Durchführung von Untersuchungen über den Einfluß der Temperatur und der Haltedauer beim Spannungsarmglühen auf die mechanischen Eigenschaften und den Abbau von inneren Spannungen durch Ermittlung der Kennwerte im Zugversuch bei 20 und 350 °C, der Übergangstemperatur im Kerbschlagbiegeversuch für Kerbschlagzähigkeiten von 27 J und 41 J und 50% Anteil an kristallinem Bruchgefüge sowie der Übergangstemperatur im Fallgewichtsversuch (NDT-Temperatur) an bei Temperaturen im Bereich von 450 bis 730 °C jeweils bis zu 100 h geglühten, der Bramme in Querrichtung entnommenen Proben. Härtemessungen in der Wärmeeinflußzone von IIW-Aufschweißproben nach entsprechenden Glühungen. Zeitstand-Zugversuche bei Temperaturen von 450 bis 730 °C mit unterschiedlicher Beanspruchungshöhe und -dauer bis zum Erreichen einer bleibenden Dehnung von wenigstens 0,2%. Erörterung der Ergebnisse mit Folgerungen, besonders für den durch die Verringerung der Härte und die Parameter im Zeitstandversuch mittelbar gekennzeichneten Abbau von inneren Spannungen sowie (hieraus resultierend) für eine vereinfachte Glühbehandlung von Schweißverbindungen. 相似文献
High-resolution nuclear magnetic resonance (NMR) spectroscopy is introduced for the quality control and authenticity assessment of beer in official food control. Measurements were performed using a 400-MHz NMR spectrometer using flow injection technology for automatic sample changing. Only degassing and addition of buffer (pH 5.6 in D2O for locking and 0.1% TSP for referencing) is required to prepare the beer samples. Differences in the spectral profiles of beers varying in type and origin were studied by principal component analysis (PCA), considering the spectrum to be a characteristic fingerprint. For the first time, the high throughput of a Flow-Injection NMR system allowed a comprehensive database of beer spectra for PCA classification to be established efficiently. Beers made with barley malt could be distinguished from those made with wheat malt. Clustering of beers from the same brewing sites was observed, as well as significant discrimination of beers with deteriorated quality. Using the partial least squares (PLS) method to correlate NMR spectra with results from reference methods, models for calculating the original gravity, ethanol and lactic acid were established. The results obtained suggest that NMR is a useful tool in the quality control of beer samples, since quantitative determination of essential compounds as well as chemometric classification are simultaneously possible. Compared to conventional methods, 1H NMR spectroscopy is faster and requires simpler sample preparation. 相似文献