Serguei Maliar

CURRENT RESEARCH:

  1. Lilia Maliar, Serguei Maliar, John Taylor and Inna Tsener (2015). “A Tractable Framework for Analyzing a Class of Nonstationary Markov Models.”, NBER 21155.

  2. Cristina Arellano, Lilia Maliar, Serguei Maliar and Viktor Tsyrennikov, (2014). “Envelope Condition Method with an Application to Default Risk Models”. SSRN 2470009.

  3. Lilia Maliar and Serguei Maliar, (2015). “Merging Simulation and Projection Aproaches to Solve High-Dimensional Problems with an Application to a New Keynesian model”, Quantitative Economics 6, 1-47 (LEAD ARTICLE).

  4. Kenneth L. Judd, Lilia Maliar, Serguei Maliar and Rafael Valero, (2014). “Smolyak Method for Solving Dynamic Economic Models: Lagrange Interpolation, Anisotropic Grid and Adaptive Domain”, Journal of Economic Dynamic and Control 44(C), 92-123.

  5. Kenneth L. Judd, Lilia Maliar and Serguei Maliar, (2014). “Lower Bounds on Approximation Errors: Testing the Hypothesis That a Numerical Solution Is Accurate”, SSRN 2484285.

  6. Lilia Maliar and Serguei Maliar, (2013). “Envelope Condition Method versus Endogenous Grid Method for Solving Dynamic Programming Problems”, Economic Letters 120, 262-266.

  7. Kenneth L. Judd, Lilia Maliar and Serguei Maliar, (2014). “How to solve dynamic stochastic models computing expectations just once”, NBER 17418.

HANDBOOK OF COMPUTATIONAL ECONOMICS:

    Lilia Maliar and Serguei Maliar, (2014). "Numerical Methods for Large Scale Dynamic Economic Models” in: Schmedders, K. and K. Judd (Eds.), Handbook of Computational Economics, Volume 3, Chapter 7, 325-477, Amsterdam: Elsevier Science.

    Summary. Our chapter provides an introduction to perturbation, projection, value function iteration, Smolyak, endogeneous grid and envelope condition methods, parallel computation, supercomputers, GPUs and many other methods and shows how to use these methods to solve dynamic stochastic economic models with hundreds of state variables. Check our MATLAB codes.

CURRENT GRADUATE STUDENTS:

    Inna Tsener "Numerical methods for analyzing nonstationary dynamic economic models and their applications" (expected graduation 2015).

    Rafael Valero "Solving dynamic economic models by using sparse grid techniques" (expected graduation 2015).

ASSOCIATE EDITOR: Journal of Economic Dynamics & Control

    - JEDC web page

ADVISER: Canadian Central Bank

    - Model Development Division in the Canadian Economic Analysis Department

CONTRIBUTOR: Becker Friedman Institute at the University of Chicago

    - Macro Financial Modeling group