The Market Resources Method for Solving Dynamic Optimization Problems

Ayşe Kabukçuoğlu Dur and Enrique Martínez-García ()
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Enrique Martínez-García: Federal Reserve Bank of Dallas, Southern Methodist University
Authors registered in the RePEc Author Service: Enrique Martínez García ()

Koç University-TUSIAD Economic Research Forum Working Papers from Koc University-TUSIAD Economic Research Forum

Abstract: We introduce the market resources method (MRM) for solving dynamic optimization problems. MRM extends Carroll’s (2006) endogenous grid point method (EGM) for problems with more than one control variable using policy function iteration. The MRM algorithm is simple to implement and provides advantages in terms of speed and accuracy over Howard’s policy improvement algorithm. Codes are available.

Keywords: DSGE models; Computational methods; Policy function iteration; Endogenous grid. (search for similar items in EconPapers)
JEL-codes: C6 C61 C63 C68 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2016-07
New Economics Papers: this item is included in nep-cmp, nep-dge, nep-ger and nep-ore
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Working Paper: The market resources method for solving dynamic optimization problems (2016)
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