TY - JOUR
T1 - Multidimensional endogenous gridpoint method
T2 - Solving triangular dynamic stochastic optimization problems without root-finding operations
AU - Iskhakov, Fedor
N1 - Publisher Copyright:
© 2015 Elsevier B.V..
PY - 2015/10/1
Y1 - 2015/10/1
N2 - This paper defines the class of triangular dynamic stochastic optimization problems with multiple continuous choices which can be solved by the multidimensional generalization of the method of endogenous gridpoints without costly root-finding operations. The typical member of this class is a model of multiple asset dynamics, with potential applications in wealth, health and human capital accumulation, portfolio problems, multisector growth models, etc.
AB - This paper defines the class of triangular dynamic stochastic optimization problems with multiple continuous choices which can be solved by the multidimensional generalization of the method of endogenous gridpoints without costly root-finding operations. The typical member of this class is a model of multiple asset dynamics, with potential applications in wealth, health and human capital accumulation, portfolio problems, multisector growth models, etc.
KW - Dynamic structural models
KW - Endogenous grid method
KW - Multidimensional continuous choice
UR - http://www.scopus.com/inward/record.url?scp=84940204129&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2015.07.033
DO - 10.1016/j.econlet.2015.07.033
M3 - Article
SN - 0165-1765
VL - 135
SP - 72
EP - 76
JO - Economics Letters
JF - Economics Letters
ER -