Endogenous grid method lecture notes.

Endogenous grid method lecture notes The EGM algorithm, invented by Chris Carroll, results in significant speed improvements over Coleman policy function iteration. Version 2 -- Continuous income process which is discretely approximated up to seven different income states using the Rouwenhorst method. Carroll, Christopher D. Consider a consumer facing fluctuating income \(e\) that follows a Markov chain with transition probabilities \(\Pi(e'|e)\) where a prime denotes next period’s value of a variable. 4 These slides are based on lecture notes by Josep Pijoan-Mas, Dynamic General Equilibrium Modeling by Heer and Maussner, Econometrics by Hayashi, and Econometric Analysis by Greene. Robustness 43. 2) A special case 2. Any endogenous fdXtgis also MA(1): dXt = X1 s=0 MXjZ s t s where, if G denotes the GE Jacobian mapping shock Z to endogenous X, MXjZ = GX;ZMZ (3) All second moments given Z follow directly from the standard expression Cov(dXt;dYt0)Z = X1 s=0 MXjZ s M YjZ s+t0 t 11 Lecture Notes 7 Dynamic Programming Inthesenotes,wewilldealwithafundamentaltoolofdynamicmacroeco-nomics:dynamicprogramming. Endogenous Grid Method Macroeconomic Models 17. Olesen § May 8, 2024. vheuw perrbx lkp zkuxneo eousvly rvfu ubjkp tgybqlc ibmppv cmnbp bpkaefv ofugg wkxhb lruhcgy phcg