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Dynamic programming for economists. From basic growth models to computational methods - Rilegato

Femminis, Gianluca

 
9791221118766: Dynamic programming for economists. From basic growth models to computational methods

Sinossi

Dynamic programming, Bellman equations and numerical methods for growth models

This book offers a step-by-step, hands-on introduction to dynamic programming for economists, combining analytical derivations with paper-and-pencil numerical techniques to solve deterministic and stochastic optimization problems in macroeconomics.

  • Utility maximization in a dynamic deterministic setting: finite-lifetime consumption-growth problem, Euler equation, infinite-horizon problem and optimal path.
  • The Dynamic Programming formulation: Bellman problem, existence and uniqueness of the solution, Envelope Theorem and Benveniste-Scheinkman formula.
  • Guess and verify: logarithmic preferences with Cobb-Douglas production, quadratic preferences with linear constraints and applications to the growth model.
  • Function iteration: value function iteration, smart initial guess, policy function iteration, endogenous grid methods and the curse of dimensionality.
  • Collocation and perturbation methods: standard and Chebyshev polynomials, local approximation, perturbation applied to the neoclassical growth model.
  • Lagrangian approach to stochastic growth and Bellman formulation with closed-form solutions.
  • Solving the stochastic growth model: AR(1) disturbances, two-dimensional Chebyshev collocation, perturbation and the Parameterized Expectations Approach.

A practical resource for graduate students in economics, PhD candidates and researchers working on macroeconomics, computational economics and quantitative methods for growth and business cycle analysis.

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