We consider a class of infinite‐horizon dynamic Markov economic models in which the parameters of utility function, production function, and transition equations change over time. In such models, the optimal value and decision functions are time‐inhomogeneous: they depend not only on state...

Heterogeneous-agent neoclassical model (HANC) studied by Krusell and Smith (1998) has savings through capital. This model has a remarkable feature of approximate aggregation: the mean of wealth distribution can be accurately predicted with the mean of past wealth distribution. However, if...

We introduce a deep learning classification (DLC) method for analyzing equilibrium in discrete-continuos choice dynamic models. As an illustration, we apply the DLC method to solve a version of Krusell and Smith's (1998) heterogeneous-agent model with incomplete markets, borrowing constraint and...

We introduce a computational technique- precomputation of integrals - that makes it possible to construct conditional expectation functions in dynamic stochastic models in the initial stage of a solution procedure. This technique is very general: it works for a broad class of approximating...