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A generalized endogenous grid method for non-concave problems

Author

Listed:
  • 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.

Suggested Citation

  • Giulio Fella, 2011. "A generalized endogenous grid method for non-concave problems," 2011 Meeting Papers 1232, Society for Economic Dynamics.
    • Handle: RePEc:red:sed011:1232
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    Cited by:

    1. White, Matthew N., 2015. "The method of endogenous gridpoints in theory and practice," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 26-41.
    2. repec:spo:wpmain:info:hdl:2441/n1d9kd7k48keoo4brb07foqbd is not listed on IDEAS
    3. Florian Oswald, 2015. "Regional Shocks, Migration and Homeownership," 2015 Meeting Papers 759, Society for Economic Dynamics.
    4. John Rust & Bertel Schjerning & Fedor Iskhakov, 2012. "A generalized endogenous grid method for discrete-continuous choice," 2012 Meeting Papers 1162, Society for Economic Dynamics.
    5. Matthew N. White, 2014. "Endogenous Gridpoints in Multiple Dimensions: Interpolation on Non-Linear Grids," Working Papers 14-17, University of Delaware, Department of Economics.
    6. Jørgensen, Thomas H., 2013. "Structural estimation of continuous choice models: Evaluating the EGM and MPEC," Economics Letters, Elsevier, vol. 119(3), pages 287-290.

    More about this item

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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