Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations
Bibliographic Data
| ID | 19418610 |
|---|---|
| Authors | George Tauchen (0000-0003-0518-3611, Duke University, corresponding author) |
| Year | 1990 |
| Volume | 8 |
| Issue | 1 |
| Pages | 49-51 |
| Publication date | 1990-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1990.10509776 |
| OpenAlex | W2135546506 |
| Language | EN |
| Citations received | 1 |
| References cited | 4 |
This article presents a solution algorithm for the capital growth model. The algorithm uses value- function iterations on a discrete state space. The quadrature method is used to set the grid for the exogenous process, and a simple equispaced scheme in logarithms is used to set the grid for the endogenous capital process. The algorithm can produce a solution to within four-digit accuracy using a state space composed of 1,800 points in total. © 1990 American Statistical Association
Algorithm · Bellman equation · Grid · Logarithm · Mathematical analysis · Mathematical optimization · State space · Statistics · Capital Investment and Risk Analysis · Computer Science · Economic theories and models · Mathematics · Monetary Policy and Economic Impact · Applied Mathematics
| Unique citing works | 1 |
|---|---|
| Citations per year | 0.03 |
| Citation span | 1990 - 1990 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |