A Generalized Time Iteration Method for Solving Dynamic Optimization Problems with Occasionally Binding Constraints
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DOI: 10.1007/s10614-020-10037-x
Abstract: We study a generalized version of Coleman (1990)’s time iteration method (GTI) for solving dynamic optimization problems. Our benchmark framework is an irreversible investment model with labor-leisure choice. The GTI algorithm is simple to implement… read more here.
Keywords: solving dynamic; dynamic optimization; iteration method; time iteration ... See more keywords
Solving dynamic discrete choice models using smoothing and sieve methods
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DOI: 10.1016/j.jeconom.2020.02.007
Abstract: We propose to combine smoothing, simulations and sieve approximations to solve for either the integrated or expected value function in a general class of dynamic discrete choice (DDC) models. We use importance sampling to approximate… read more here.
Keywords: sieve methods; solving dynamic; choice models; dynamic discrete ... See more keywords