The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems

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The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems

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

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Christopher Carroll

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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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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Other versions of this item:

Article
- Carroll, Christopher D., 2006. "The method of endogenous gridpoints for solving dynamic stochastic optimization problems," Economics Letters, Elsevier, vol. 91(3), pages 312-320, June. [Downloadable!] (restricted)
Paper
- Christopher Carroll, 2005. "The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems," Economics Working Paper Archive 520, The Johns Hopkins University,Department of Economics. [Downloadable!]
- Christopher D. Carroll, 2005. "The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems," NBER Technical Working Papers 0309, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

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

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-09-02 (All new papers)
NEP-CMP-2005-09-02 (Computational Economics)
NEP-DGE-2005-09-02 (Dynamic General Equilibrium)
NEP-MAC-2005-09-02 (Macroeconomics)

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.:

Christopher D. Carroll, 2004. "Theoretical Foundations of Buffer Stock Saving," Economics Working Paper Archive 517, The Johns Hopkins University,Department of Economics. [Downloadable!]
Other versions:
- Christopher Carroll, 2004. "Theoretical Foundations of Buffer Stock Saving," NBER Working Papers 10867, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Deaton, Angus, 1991. "Saving and Liquidity Constraints," Econometrica, Econometric Society, vol. 59(5), pages 1221-48, September. [Downloadable!] (restricted)
Other versions:
- Angus Deaton, 1989. "Saving and Liquidity Constraints," NBER Working Papers 3196, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Deaton, A., 1989. "Saving And Liquidity Constraints," Papers 153, Princeton, Woodrow Wilson School - Public and International Affairs.

Full references

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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Jonathan Heathcote & Kjetil Storesletten & Giovanni L. Violante, 2008. "The Macroeconomic Implications of Rising Wage Inequality in the United States," NBER Working Papers 14052, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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Dirk Krueger & Alexander Ludwig, 2006. "On the Consequences of Demographic Change for Rates of Returns to Capital, and the Distribution of Wealth and Welfare," CFS Working Paper Series 2006/18, Center for Financial Studies. [Downloadable!]
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- Krüger, Dirk & Ludwig, Alexander, 2006. "On the Consequences of Demographic Change for Rates of Return to Capital, and the Distribution of Wealth and Welfare," CEPR Discussion Papers 5834, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
- Ludwig, Alexander & Krüger, Dirk, 2006. "On the Consequences of Demographic Change for Rates of Returns to Capital, and the Distribution of Wealth and Welfare," Sonderforschungsbereich 504 Publications 07-11, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
- Krueger, Dirk & Ludwig, Alexander, 2007. "On the consequences of demographic change for rates of returns to capital, and the distribution of wealth and welfare," Journal of Monetary Economics, Elsevier, vol. 54(1), pages 49-87, January. [Downloadable!] (restricted)
Mario Padula & UniversitÃ di Salerno, 2006. "An approximate consumption function," Computing in Economics and Finance 2006 133, Society for Computational Economics. [Downloadable!]
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!]
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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