Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55173
Authors: 
Fella, Giulio
Year of Publication: 
2011
Series/Report no.: 
Working Paper // School of Economics and Finance, Queen Mary, University of London 677
Abstract: 
This paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fernández-Villaverde (2007) to non-concave problems. The method is illustrated using a consumer problem in which consumers choose both durable and non-durable consumption. The durable choice is discrete and subject to non-convex adjustment costs. The algorithm yields substantial gains in accuracy and computational time relative to value function iteration, the standard solution choice for non-concave problems.
Subjects: 
endogenous grid method
non-concavity
JEL: 
C63
Document Type: 
Working Paper

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