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The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems

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Author Info
Christopher D. Carroll () (Department of Economics, The Johns Hopkins University)

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Abstract

This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided.

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Publisher Info
Paper provided by Center for Financial Studies in its series CFS Working Paper Series with number 2005/18.

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Length: 23 pages
Date of creation: 18 Jan 2005
Date of revision:
Handle: RePEc:cfs:cfswop:wp200518

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Related research
Keywords: Dynamic optimization; precautionary saving; stochastic growth model; endogenous gridpoints; liquidity constraints;

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Find related papers by JEL classification:
C6 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming
D9 - Microeconomics - - Intertemporal Choice and Growth
E2 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Christopher D. Carroll, 2004. "Theoretical Foundations of Buffer Stock Saving," Economics Working Paper Archive 517, The Johns Hopkins University,Department of Economics. [Downloadable!]
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  2. Deaton, Angus, 1991. "Saving and Liquidity Constraints," Econometrica, Econometric Society, vol. 59(5), pages 1221-48, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

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  2. Mario Padula, 2008. "An approximate consumption function," Working Papers 2008_24, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
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  3. Gaobo Pang, Mark J. Warshawsk, . "Optimizing the Equity-Bond-Annuity Portfolio in Retirement: The Impact of Uncertain Health Expenses," Research Reports 4, Watson Wyatt Worldwide. [Downloadable!]
  4. Francisco Barillas & Jesús Fernández-Villaverde, 2006. "A Generalization of the Endogenous Grid Method," Levine's Bibliography 122247000000001200, UCLA Department of Economics. [Downloadable!]
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  5. Karel Mertens, 2007. "The Role of Expectations in Sudden Stops," Economics Working Papers ECO2007/16, European University Institute. [Downloadable!]
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  6. Bertrand Gruss & Karel Mertens, 2009. "Regime Switching Interest Rates and Fluctuations in Emerging Markets," Economics Working Papers ECO2009/22, European University Institute. [Downloadable!]
  7. Rendahl Pontus, 2006. "Inequality Constraints in Recursive Economies," Computing in Economics and Finance 2006 174, Society for Computational Economics. [Downloadable!]
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  8. Tomoaki Yamada, 2009. "Income Risk, Consumption Inequality, and Macroeconomy in Japan," Global COE Hi-Stat Discussion Paper Series gd08-041, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  9. Den Haan, Wouter, 2008. "Comparison of Solutions to the Incomplete Markets Model with Aggregate Uncertainty," CEPR Discussion Papers 7019, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  10. Den Haan, Wouter & Rendahl, Pontus, 2008. "Solving the Incomplete Markets Model with Aggregate Uncertainty using Explicit Aggregation," CEPR Discussion Papers 6963, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  11. Koijen, Ralph S.J. & Nijman, Theo E. & Werker, Bas J.M., 2006. "Optimal portfolio choice with annuitization," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
  12. Emilio Espino & Thomas Hintermaier, 2009. "Asset trading volume in a production economy," Economic Theory, Springer, vol. 39(2), pages 231-258, May. [Downloadable!] (restricted)
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  14. Fabian Valencia, 2008. "Banks' Precautionary Capital and Credit Crunches," IMF Working Papers 08/248, International Monetary Fund. [Downloadable!]
  15. David Love, 2008. "The Effect of Marital Status and Children on Savings and Portfolio Choice," Department of Economics Working Papers 2008-13, Department of Economics, Williams College. [Downloadable!]
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