|
EconStor >
Queen Mary, University of London >
School of Economics and Finance, Queen Mary, University of London >
Working Paper Series, School of Economics and Finance, Queen Mary, University of London >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/55173
|
| | |
| Title: | | A generalized endogenous grid method for non-concave problems  |
| Authors: | | Fella, Giulio |
| Issue Date: | | 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 |
| Appears in Collections: | | Working Paper Series, School of Economics and Finance, Queen Mary, University of London
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/55173
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|