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Envelope condition method versus endogenous grid method for solving dynamic programming problems

  • Maliar, Lilia
  • Maliar, Serguei

We introduce an envelope condition method (ECM) for solving dynamic programming problems. The ECM method is simple to implement, dominates conventional value function iteration and is comparable in accuracy and cost to Carroll’s (2005) endogenous grid method. Codes are available.

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 120 (2013)
Issue (Month): 2 ()
Pages: 262-266

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Handle: RePEc:eee:ecolet:v:120:y:2013:i:2:p:262-266
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Santos, Manuel S., 1999. "Numerical solution of dynamic economic models," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 5, pages 311-386 Elsevier.
  2. Francisco Barillas & Jesús Fernández-Villaverde, 2006. "A Generalization of the Endogenous Grid Method," Levine's Bibliography 122247000000001200, UCLA Department of Economics.
  3. Aruoba, S. Boragan & Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Comparing solution methods for dynamic equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2477-2508, December.
  4. Villemot, Sébastien, 2012. "Accelerating the resolution of sovereign debt models using an endogenous grid method," Dynare Working Papers 17, CEPREMAP.
  5. Kenneth Judd & Lilia Maliar & Serguei Maliar, 2011. "Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models," Working Papers. Serie AD 2011-15, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  6. Serguei Maliar & Lilia Maliar & Kenneth L. Judd, 2010. "Solving the Multi-Country Real Business Cycle Model Using Ergodic Set Methods," NBER Working Papers 16304, National Bureau of Economic Research, Inc.
  7. Cai, Yongyang & Judd, Kenneth L., 2012. "Dynamic programming with shape-preserving rational spline Hermite interpolation," Economics Letters, Elsevier, vol. 117(1), pages 161-164.
  8. Kenneth L. Judd & Lilia Maliar & Serguei Maliar, 2012. "Merging Simulation and Projection Approaches to Solve High-Dimensional Problems," NBER Working Papers 18501, National Bureau of Economic Research, Inc.
  9. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, June.
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