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Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations

  • Tauchen, George

This article presents a solution algorithm for the capital growth model. The algorithm uses value-function iterations on a discrete state space. The quadrature method is used to set the grid for the exogenous process, and a simple equispaced scheme in logarithms is used to set the grid for the endogenous capital process. The algorithm can produce a solution to within four-digit accuracy using a state space composed of 1,800 points in total.

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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 8 (1990)
Issue (Month): 1 (January)
Pages: 49-51

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Handle: RePEc:bes:jnlbes:v:8:y:1990:i:1:p:49-51
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