The market resources method for solving dynamic optimization problems

We introduce the market resources method (MRM) for solving dynamic optimization problems. MRM extends Carroll's (2006) endogenous grid point method (EGM) for problems with more than one control variable using policy function iteration. The MRM algorithm is simple to implement and provides advantages in terms of speed and accuracy over Howard's policy improvement algorithm. Codes are available.

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Year of publication:	2016
Authors:	Kabukçuoğlu, Ayşe ; Martínez-García, Enrique
Publisher:	Istanbul : Koç University-TÜSİAD Economic Research Forum (ERF)
Subject:	DSGE models \| Computational methods \| Policy function iteration \| Endogenous grid

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Series:	Working Paper ; 1607
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	86400768X [GVK] hdl:10419/166731 [Handle]
Classification:	C6 - Mathematical Methods and Programming ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; C68 - Computable General Equilibrium Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10011696304