Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86865
Authors: 
Elbers, Chris
Gunning, Jan Willem
Vigh, Melinda
Year of Publication: 
2009
Series/Report no.: 
Tinbergen Institute Discussion Paper 09-054/2
Abstract: 
This paper considers a general class of stochastic dynamic choice models with discrete and continuous decision variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk. Our examples are drawn from the field of development economics. We formalize this class as a dynamic programming problem, then propose a solution method that relies on value function iteration. Finally, in an example we show how our algorithm can be applied to solve and estimate a dynamic model with discrete and continuous controls.
Subjects: 
value function iteration
mixed continuous/discrete controls
stochastic dynamic choice model
JEL: 
C61
C63
C51
E12
G11
Q12
Document Type: 
Working Paper

Files in This Item:
File
Size
324.98 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.