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A generalized endogenous grid method for non-concave problems

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  • Giulio Fella

    (Queen Mary University of London)

Abstract

This paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fernandez-Villaverde (2007) to non-concave problems. The method is illustrated using a non-concave 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 method yields substantial gains in accuracy and efficiency relative to value function iteration, the standard solution choice for non-concave problems.

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Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2011 Meeting Papers with number 1232.

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Date of creation: 2011
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Handle: RePEc:red:sed011:1232

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Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
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References

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  1. Giulio Fella & Giovanni Gallipoli, 2007. "Education and Crime over the Life Cycle," Working Paper Series, The Rimini Centre for Economic Analysis 15-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  2. Kjetil Storesletten & Chris I. Telmer & Amir Yaron, 2000. "Consumption and Risk Sharing Over the Life Cycle," NBER Working Papers 7995, National Bureau of Economic Research, Inc.
  3. Patrick Bajari & Phoebe Chan & Dirk Krueger & Daniel Miller, 2013. "A Dynamic Model Of Housing Demand: Estimation And Policy Implications," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(2), pages 409-442, 05.
  4. Andrew Clausen & Carlo Strub, 2012. "Envelope theorems for non-smooth and non-concave optimization," ECON - Working Papers, Department of Economics - University of Zurich 062, Department of Economics - University of Zurich.
  5. Hintermaier, Thomas & Koeniger, Winfried, 2010. "The method of endogenous gridpoints with occasionally binding constraints among endogenous variables," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(10), pages 2074-2088, October.
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Cited by:
  1. Jørgensen, Thomas H., 2013. "Structural estimation of continuous choice models: Evaluating the EGM and MPEC," Economics Letters, Elsevier, Elsevier, vol. 119(3), pages 287-290.
  2. John Rust & Bertel Schjerning & Fedor Iskhakov, 2012. "A generalized endogenous grid method for discrete-continuous choice," 2012 Meeting Papers, Society for Economic Dynamics 1162, Society for Economic Dynamics.

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