A Generalized Time Iteration Method for Solving Dynamic Optimization Problems with Occasionally Binding Constraints

Ayşe Kabukçuoğlu Dur and Enrique Martínez-García ()
Additional contact information
Enrique Martínez-García: Federal Reserve Bank of Dallas
Authors registered in the RePEc Author Service: Enrique Martínez García ()

Computational Economics, 2021, vol. 58, issue 2, No 10, 435-460

Abstract: Abstract We study a generalized version of Coleman (J Bus Econ Stat 8:27–29, 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 and provides advantages in terms of speed relative to Howard’s (Dynamic Programming and Markov Processes. MIT Press, Cambridge, MA, 1960) improvement algorithm. A second application on a heterogeneous-agents incomplete-markets model further explores the performance of GTI.

Keywords: General equilibrium models; Occasionally binding constraints; Computational methods; Time iteration; Policy function iteration; Endogenous grid (search for similar items in EconPapers)
JEL-codes: C6 C61 C63 C68 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10614-020-10037-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: A Generalized Time Iteration Method for Solving Dynamic Optimization Problems with Occasionally Binding Constraints (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10037-x

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

DOI: 10.1007/s10614-020-10037-x

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().